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Module 808 in TOMS

General Information

ARFIT: Estimation of parameters and eigenmodes of multivariate autoregressive models. A collection of Matlab modules for modeling and analyzing multivariate time series with autoregressive models. (See T. Schneider and A. Neumaier, ACM TOMS 27 (2001) pp. 58-65).

Classification
L10cAnalysis of a multivariate time series
Type
subroutine in TOMS package
Language
Matlab
Availability
Some uses prohibited, Portable
Precision
Single Precision

Download from NETLIB; Public access repository

Location
The University of Tennessee at Knoxville and Bell Laboratories
Contact
Jack Dongarra, ORNL (dongarra@cs.utk.edu) and Eric Grosse, Bell Labs (ehg@research.att.com)
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