swMATH ID: 46
Software Authors: Tapio Schneider; Arnold Neumaier
Description: ARfit is a collection of Matlab modules for modeling and analyzing multivariate time series with autoregressive (AR) models. ARfit contains modules to given time series data, for analyzing eigen modes of a fitted model, and for simulating AR processes. ARfit estimates the parameters of AR models from given time series data with a stepwise least squares algorithm that is computationally efficient, in particular when the data are high-dimensional. ARfit modules construct approximate confidence intervals for the estimated parameters and compute statistics with which the adequacy of a fitted model can be assessed. Dynamical characteristics of the modeled time series can be examined by means of a decomposition of a fitted AR model into eigenmodes and associated oscillation periods, damping times, and excitations. The ARfit module that performs the eigendecomposition of a fitted model also constructs approximate confidence intervals for the eigenmodes and their oscillation periods and damping times.
Homepage: http://climate-dynamics.org/software/#arfit
Programming Languages: Matlab
Dependencies: Matlab
Keywords: Matlab; multivariate time series; autoregressive models; statistics
Related Software: FastICA; Matlab; mctoolbox; ICALAB; itsmr; glinternet; bootstrap; TETRAD; LMOMENTS; extRemes; ismev; MSLiP; sapa; Octave; EEGLAB; Flury
Cited in: 36 Publications
all top 5

Cited by 86 Authors

3 Schneider, Tapio
3 Szabo, Zoltan
2 Cremers, Daniel
2 Galka, Andreas
2 Lőrincz, András Cristian
2 Neumaier, Arnold
2 Ozaki, Tohru
2 Póczos, Barnabás
1 Abreu, Giuseppe
1 Anagnostopoulos, Christos-Nikolaos
1 Ang, Kai Keng
1 Baumgartner, Christoph
1 Bayard, Jorge Bosch
1 Bien, Jacob
1 Birkelund, Yngve
1 Bódai, Tamás
1 Cabuz, Simona
1 Ciprian Patic, Paul
1 Coomber, Ben
1 Deistler, Manfred
1 Dyrholm, Mads
1 Ertüzün, Ayşin
1 Fakotakis, Nikos D.
1 Flamm, Christoph
1 Funka-Lea, Gareth
1 García-Hiernaux, Alfredo
1 Gençağa, Deniz
1 Georgas, Panagiotis
1 Graef, Andreas
1 Gu, Zhenghui
1 Guan, Cuntai
1 Hadjiefthymiades, Stathes
1 Hansen, Lars Kai
1 Hanssen, Alfred
1 Harlim, John
1 He, Lin
1 Hong, Hoon
1 Hsiao, Hsiao-Fen
1 Hu, Guannan
1 Huang, Jiangchuan
1 Kiszlinger, Melinda
1 Klimchenko, V. V.
1 Kluge, Tino
1 Komaki, Fumiyasu
1 Kuruoglu, Ercan Engin
1 Latorre, Juan Cristobal
1 Li, Xinyang
1 Li, Yuanqing
1 Lin, Zheng-Wei
1 Lucarini, Valerio
1 Makeig, Scott
1 Mason, Rob
1 Matsuda, Takeru
1 Matteson, David S.
1 Meerbach, Eike
1 Morari, Manfred
1 Muhle, Hiltrud
1 Ndiour, Ibrahima J.
1 Nicholson, William B.
1 Niedzielski, Tomasz
1 Nolde, Kristian
1 Ntalampiras, Stavros
1 Ong, Sim-Heng
1 Orsingher, Enzo
1 Owen, Markus Roger
1 Pan, Yaozhang
1 Polito, Federico
1 Potamitis, Ilyas
1 Robbins, Jacob L.
1 Roe, Gerard
1 Rosenblatt, Murray
1 Schlögl, Alois
1 Schütte, Christof
1 Stephani, Ulrich
1 Stuart, Andrew M.
1 Taxidis, Jiannis
1 Teizer, Jochen
1 Uhr, Markus
1 Vela, Patricio A.
1 Wilms, Ines
1 Wong, Kin Foon Kevin
1 Wu, JinLong
1 Yamashita, Okito
1 Yu, Zhuliang
1 Zemouri, Ryad
1 Zhang, Haihong

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