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Time series analysis using Mathcad!!!

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Time series analysis using Mathcad!!!

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 10

Re: Time series analysis using Mathcad!!!

Hi Jan,

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

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

Re: Time series analysis using Mathcad!!!

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.

Re: Time series analysis using Mathcad!!!

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

Re: Time series analysis using Mathcad!!!

Many thanks for your reply, see what we can do in there..

Re: Time series analysis using Mathcad!!!

No problem, Jan.

Re: Time series analysis using Mathcad!!!

Maybe this could be of interest to you

http://isc.temple.edu/economics/notes/lectures_rev.html

especially chapter XVI

Re: Time series analysis using Mathcad!!!

Werner Exinger wrote:

... http://isc.temple.edu/economics/notes/lectures_rev.html

especially chapter XVI...

Something is wrong with the indexes in the document ("armapq.mcd") for ARMA model: http://isc.temple.edu/economics/notes/timeseries/mcad_examp/armapq.mcd

Werner Exinger wrote:

http://isc.temple.edu/economics/notes/lectures_rev.html

Thank you for this link.

Re: Time series analysis using Mathcad!!!

Something is wrong with the indexes in the document ("armapq.mcd") for ARMA model: http://isc.temple.edu/economics/notes/timeseries/mcad_examp/armapq.mcd

Yes, you're right. I don't think that Mathcad2000 (the version these files were made according to the site) was so much different. So I guess the file never worked. What is missing is the initialisation of the first x[i.

Changing as shown in the upper right seems to make it work:

idx2.png

Re: Time series analysis using Mathcad!!!

Hmm... I opened this file (without modification) by using Mathcad Explorer 8 (wich you can find it here: http://communities.ptc.com/message/164132#164132) and it works fine.

Pic_1.PNG

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