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Multivariate analysis -- Software


ARfit: A Matlab Package For the Estimation and Spectral Decomposition of Multivariate Autoregressive Models

This collection of Matlab routines, provided by Tapio Schneider of the Atmospheric and Oceanic Sciences Department at Princeton University, was created for the purpose of "estimation of parameters and confidence regions for multivariate autoregressive (AR) processes, diagnostic checking of fitted models,and spectral decomposition of AR models." The abstracts for the papers on which the routines...