Algorithm 808
Published in ACM Transactions on Mathematical Software • Mar 1, 2001
Authors:,
Tapio Schneider
Arnold Neumaier
Abstract
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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