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Algorithm 808: ARfit—a Matlab package for the estimation of parameters and eigenmodes of multivariate autoregressive models

Schneider, Tapio and Neumaier, Arnold (2001) Algorithm 808: ARfit—a Matlab package for the estimation of parameters and eigenmodes of multivariate autoregressive models. ACM Transactions on Mathematical Software (TOMS), 27 (1). pp. 58-65. ISSN 0098-3500. https://resolver.caltech.edu/CaltechAUTHORS:20160930-153541748

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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.


Item Type:Article
Related URLs:
URLURL TypeDescription
http://dx.doi.org/10.1145/382043.382316DOIArticle
http://dl.acm.org/citation.cfm?doid=382043.382316PublisherArticle
ORCID:
AuthorORCID
Schneider, Tapio0000-0001-5687-2287
Additional Information:© 2001 ACM. Received: September 1997; revised: January 2000; accepted: October 2000.
Subject Keywords:Confidence intervals, eigenmodes, least squares, model identification, Matlab, order selection, parameter estimation, principal oscillation pattern
Issue or Number:1
Record Number:CaltechAUTHORS:20160930-153541748
Persistent URL:https://resolver.caltech.edu/CaltechAUTHORS:20160930-153541748
Official Citation:Tapio Schneider and Arnold Neumaier. 2001. Algorithm 808: ARfit—a matlab package for the estimation of parameters and eigenmodes of multivariate autoregressive models. ACM Trans. Math. Softw. 27, 1 (March 2001), 58-65. DOI=http://dx.doi.org/10.1145/382043.382316
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:70730
Collection:CaltechAUTHORS
Deposited By: Tony Diaz
Deposited On:30 Sep 2016 22:42
Last Modified:03 Oct 2019 16:00

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