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...

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Bibliographic Details

Published in:	ACM transactions on mathematical software. 27, 1 (2001).
Main Author:	Schneider, Tapio
Other Authors:	Neumaier, Arnold
Format:	Article
Language:	English
Subjects:	MATLAB. Confidence intervals. Eigenmodes. Least squares. Model identification. Order selection. Parameter estimation. Principal oscillation pattern.