Algorithm 808: ARFIT - A Matlab package for the estimation of parameters and eigenmodes of multivariate autoregressive models

ACM Transactions on Mathematical Software

Volumn 27, Issue 1, 2001, Pages 58-65

  Schneider, Tapio ^a   Neumaier, Arnold ^b  

^a NEW YORK UNIVERSITY   (United States)

^b UNIVERSITY OF VIENNA   (Austria)

Author keywords

G.3 Mathematics of Computing : Probability and Statistics Markov processes; G.4 Mathematics of Computing : Mathematical Software Documentation; Multivariate statistics; Statistical software; Stochastic processes; Time series analysis

Indexed keywords

EID: 0002537922     PISSN: 00983500     EISSN: None     Source Type: Journal    
DOI: 10.1145/382043.382316     Document Type: Article

References (12)

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12. WEI, W. W. S. 1994. Time Series Analysis. Addison-Wesley Publishing Co., Inc., Redwood City, CA.