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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 are based are available at the site. ARfit may be used by copying the collection of routines into a directory accessible by Matlab. The descriptions of the ARfit files, including their code, are available through direct links at the site. Also included are PostScript copies of the two reference papers.
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Date of Scout Publication
October 15th, 1997
Date Of Record Creation
April 3rd, 2003 at 4:20pm
Date Of Record Release
April 3rd, 2003 at 4:20pm
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