Algorithm 808: ARfit---a matlab package for the estimation of parameters and eigenmodes of multivariate autoregressive models Export

@article{citeulike:4286046, 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 from given time series data with a stepwise least squares algorithm that is computationally efficient, in particular when the data are high-dimensional. ARfit modules construct approximate confidence intervals for the estimated parameters and compute statistics with which the adequacy of a fitted model can be assessed. Dynamical characteristics of the modeled time series can be examined by means of a decomposition of a fitted AR model into eigenmodes and associated oscillation periods, damping times, and excitations. The ARfit module that performs the eigendecomposition of a fitted model also constructs approximate confidence intervals for the eigenmodes and their oscillation periods and damping times.}, address = {New York, NY, USA}, author = {Schneider, Tapio and Neumaier, Arnold}, citeulike-article-id = {4286046}, citeulike-linkout-0 = {http://portal.acm.org/citation.cfm?id=382316}, citeulike-linkout-1 = {http://dx.doi.org/10.1145/382043.382316}, doi = {10.1145/382043.382316}, issn = {0098-3500}, journal = {ACM Trans. Math. Softw.}, keywords = {calculation, matlab, prediction}, number = {1}, pages = {58--65}, posted-at = {2009-06-01 11:13:14}, priority = {2}, publisher = {ACM}, title = {Algorithm 808: ARfit---a matlab package for the estimation of parameters and eigenmodes of multivariate autoregressive models}, url = {http://dx.doi.org/10.1145/382043.382316}, volume = {27}, year = {2001} }

TY - JOUR ID - citeulike:4286046 L3 - citeulike-article-id:4286046 N2 - 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 from given time series data with a stepwise least squares algorithm that is computationally efficient, in particular when the data are high-dimensional. ARfit modules construct approximate confidence intervals for the estimated parameters and compute statistics with which the adequacy of a fitted model can be assessed. Dynamical characteristics of the modeled time series can be examined by means of a decomposition of a fitted AR model into eigenmodes and associated oscillation periods, damping times, and excitations. The ARfit module that performs the eigendecomposition of a fitted model also constructs approximate confidence intervals for the eigenmodes and their oscillation periods and damping times. IS - 1 JF - ACM Trans. Math. Softw. SN - 0098-3500 AD - New York, NY, USA EP - 65 TI - Algorithm 808: ARfit---a matlab package for the estimation of parameters and eigenmodes of multivariate autoregressive models PB - ACM VL - 27 SP - 58 KW - calculation KW - matlab KW - prediction AU - Schneider, Tapio AU - Neumaier, Arnold PY - 2001/// UR - http://dx.doi.org/10.1145/382043.382316 ER -