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Nov 19

Estimation of parameters and eigenmodes of multivariate autoregressive models

Posted by abiao at 21:50 | Code » Matlab | Comments(0) | Reads(6729)
ARfit is a collection of  Matlab modules for

    * estimating parameters of multivariate autoregressive (AR) models,
    * diagnostic checking of fitted AR models, and
    * analyzing eigenmodes of fitted AR models.

the package is based on the following two paper:
A. Neumaier and T. Schneider, 2001: Estimation of parameters and eigenmodes of multivariate autoregressive models. ACM Trans. Math. Softw., 27, 27–57.

T. Schneider and A. Neumaier, 2001: Algorithm 808: ARfit - A Matlab package for the estimation of parameters and eigenmodes of multivariate autoregressive models. ACM Trans. Math. Softw., 27, 58–65.

Paper and Package are at http://www.gps.caltech.edu/~tapio/arfit/#files.


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