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

Proof n ≥ 2p. Notebook, PDF, excerpt from Champernowne (1948) | |

Kullback-Leibler Divergence: ARMA Notebook. Fractionally Differenced White Noise Notebook | |

Relative efficiencies of Durbin and Faster in MA(1): notebook | |

Exact finite sample efficiency of the sample mean: notebook | |

Timings for ARMA(1,1): notebook | |

Variance of the estimated efficiency in simulation experiments: notebook |

Fit ARMA model to Series A: notebook | |

Simulate and fit a time series: notebook |