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MathGroup Archive 1995

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Re: Time Series

  • To: mathgroup at christensen.cybernetics.net
  • Subject: [mg731] Re: Time Series
  • From: rubin at msu.edu (Paul A. Rubin)
  • Date: 11 Apr 1995 21:44:13 GMT
  • Organization: Michigan State University

In article <3mcvsl$830 at news0.cybernetics.net>,
   "Ron I. Herman" <m1rih00 at FRB.GOV> wrote:
->I'm about to create a time series class(package) in
->Mathematica and wondered if anyone has done anything
->in this area. As a start I'd like to program for
->the following:
->
->  1) At a minimum: annual,semi-annual,quarterly,
->     monthly,daily,weekly, and business frequencies.
->  2) An algebra of time series.
->  3) Time series display functions.
->  4) Basic graphic functions.
->  5) An indexing function for extracting data elements.
->  
->Ron Herman
->Federal Reserve Board
->rherman at frb.gov

There is a chapter on time series models (by Robert A. Stine, Wharton 
School) in _Economic and Financial Modeling with Mathematica_ (Hal Varian, 
ed.), published (with accompanying diskette) by Telos (Springer-Verlag), 
1993.  I don't see much overlap between Stine's package and what you 
mention above, but you might want to look at it.

Paul Rubin


**************************************************************************
* Paul A. Rubin                                  Phone: (517) 432-3509   *
* Department of Management                       Fax:   (517) 432-1111   *
* Eli Broad Graduate School of Management        Net:   RUBIN at MSU.EDU    *
* Michigan State University                                              *
* East Lansing, MI  48824-1122  (USA)                                    *
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Mathematicians are like Frenchmen:  whenever you say something to them,
they translate it into their own language, and at once it is something
entirely different.                                    J. W. v. GOETHE


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