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Symbolic Arma Model Analysis, Keith H. Webb, Lawrence Leemis
Symbolic Arma Model Analysis, Keith H. Webb, Lawrence Leemis
Arts & Sciences Articles
ARMA models provide a parsimonious and flexible mechanism for modeling the evolution of a time series. Some useful measures of these models (e.g., the autocorrelation function or the spectral density function) are tedious to compute by hand. This paper uses a computer algebra system, not simulation, to calculate measures of interest associated with ARMA models.