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/

