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1-Visitor
January 19, 2013
Question

Time series analysis using Mathcad!!!

  • January 19, 2013
  • 10 replies
  • 7502 views

I would like to ask if such a thing can be done using Mathcad?.
Or maybe you are somewhere examples of these solutions. It's mainly about the analysis and time series and forecast using
moving average (MA), autoregressive (AR), and ARMA.

The new Mathematica 9 included:

  • Support for scalar and vector moving average (MA), autoregressive (AR), and ARMA processes.
  • Support for processes with polynomial and seasonal trends, as well as long memory time series models.
  • Full support for simulation, estimation, and forecasting from time series models.
  • Additional time series support for partial correlation function and spectral density.
  • Flexible tests for unit root including augmented Dickey-Fuller and Phillips-Perron tests.
  • Support for parametric stochastic differential equations (SDEs) such as Cox-Ingersoll-Ross.
  • Support for scalar and vector Ito and Stratonovich processes defined by differential equations.
  • Automatic conversion of parametric SDE processes to their Ito and Stratonovich forms.
  • Support for Ito and Stratonovich SDE processes driven by other SDE processes.
  • Support for nonlinear functions of Ito and Stratonovich process with automatic conversion to normal form.
  • Extensive methods for simulation of SDE processes including Euler-Maruyama, stochastic Runge-Kutta, etc.
  • Support for symbolically computing mean function, covariance function for time series, and SDE processes.

See web page.

http://www.wolfram.com/mathematica/new-in-9/time-series-and-stochastic-differential-equations/

10 replies

24-Ruby IV
January 19, 2013

Hi Jan,

Possible that my comments from this question will be useful for you:

http://communities.ptc.com/message/170265#170265

jkowalski1-VisitorAuthor
1-Visitor
January 19, 2013

Hi Vladimir

Many thanks for your reply. Really appreciated.

The above is only maybe 50% of what it needs.

No ARMA(ARIMA)

No Dickey-Fuller and Phillips-Perron tests

No....

Maybe there are some add-ons,extrapacks,tutorials,workseets.?

JK.

24-Ruby IV
January 27, 2013

You can bring this new and advanced capabilities for Mathcad in these groups:

"Enhancing Mathcad": http://communities.ptc.com/groups/enhancing-mathcad

"Mathcad Prime 3.0 Discussion": http://communities.ptc.com/groups/mathcad-prime-30-discussion

Or by creating a new "Idea" here (but only if you have an active/paid maintenance for Mathcad): http://communities.ptc.com/community/mathcad?view=idea