Online supplements to

"Faster ARMA Maximum Likelihood Estimation"

by A.I. McLeod and Ying Zhang

08/21/2009 5:36 PM

Software Packages and Example Scripts

bulletMathematica
bullet MatLab
bullet

R

Derivations

bulletVariance of the estimated efficiency in simulation experiments:  PDF
bulletProof n 2p.   PDFexcerpt from Champernowne (1948)
bulletARMA(1,1) Spectral Density Functions (log base 2 scale)
bulletARMA(1,1) Theoretical Autocorrelation Functions