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

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Authors: Tapio Schneider New York Univ., New York, NY
Arnold Neumaier Univ. Wien, Vienna, Austria
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· Journal
ACM Transactions on Mathematical Software (TOMS) TOMS Homepage archive
Volume 27 Issue 1, March 2001
Pages 58-65
ACM New York, NY, USA
table of contents doi>10.1145/382043.382316
Algorithm 808: ARfit—a matlab package for the estimation of parameters and eigenmodes of multivariate autoregressive models Published by ACM 2001 Article
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