Broad Performance Improvements 

Mathematica 10 introduces broad performance improvements of its support for linear time series processes, including, among others, sampling, covariance function, loglikelihood, and slices.

Timings for sampling 500 paths ensemble of a scalar ARMA(2,1) process in Mathematica 10, Mathematica 9, and in R 3.1.0 as the function of path length. The experiment was performed on an Intel Core i7 2.93 GHz 64-bit Windows system. The number at the bottom shows how much faster Mathematica 10 is than Mathematica 9.

Timings for sampling 50 paths ensemble of a two-dimensional vector ARMA(2,1) process in Mathematica 10 and Mathematica 9 as the function of path length. The experiment was performed on an Intel Xeon 3.07 GHz 64-bit Linux system. The number at the bottom shows how much faster Mathematica 10 is than Mathematica 9.

Timings for computation of an autocovariance sequence of a scalar ARMA(2,1) process in Mathematica 10, Mathematica 9, and in R 3.1.0 as the function of maximal lag. The experiment was performed on an Intel Core i7 2.93 GHz 64-bit Windows system with a time limit of 120 seconds. The number at the bottom shows how much faster Mathematica 10 is than Mathematica 9.

Timings for computation of autocovariance sequence of a two-dimensional vector ARMA(2,1) process in Mathematica 10 and Mathematica 9 as the function of maximal lag. The experiment was performed on an Intel Xeon 3.07 GHz 64-bit Linux system. The number at the bottom shows how much faster Mathematica 10 is than Mathematica 9.