Algorithm 808 ARfit?a matlab package for the estimation of parameters and eigenmodes of multivariate autoregressive models.
ARfit is a collection of Matlab modules for modeling and analyzing multivariate time series with autoregressive (AR) models. ARfit contains modules to given time series data, for analyzing eigen modes of a fitted model, and for simulating AR processes. ARfit estimates the parameters of AR models fro...
| Wydane w: | ACM transactions on mathematical software. 27, 1 (2001). |
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| Format: | Artykuł |
| Język: | English |
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