Mathematica Supplements


The functions in this paper are implemented in the Mathematica package FitARMA.  This package requires also the package FitAR.  Both of these packages require Mathematica Version 5.2 or above.  To install these packages simply copy them to your Applications directory where Mathematica is installed -- for example on many computers this is:

C:\Program Files\Wolfram Research\Mathematica\5.2\AddOns\Applications

Download these Mathematica Package files:  FitARMA.m and FitAR.m

Notebooks for simulations and computations reported in our paper:

bulletProof n 2p.  NotebookPDFexcerpt from Champernowne (1948)
bulletKullback-Leibler Divergence:  ARMA NotebookFractionally Differenced White Noise Notebook
bulletRelative efficiencies of Durbin and Faster in MA(1): notebook
bulletExact finite sample efficiency of the sample mean: notebook
bulletTimings for ARMA(1,1): notebook
bulletVariance of the estimated efficiency in simulation experiments: notebook


Notebooks which illustrate the use of these packages:

bulletFit ARMA model to Series A: notebook
bulletSimulate and fit a time series: notebook