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ARfit

swMATH ID:	46
Software Authors:	Schneider, Tapio; Neumaier, Arnold
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; bvarsv; DeepONet; Tensor2Tensor; ODEPACK; EnKF; glinternet; bootstrap; TETRAD; LMOMENTS; extRemes; ismev; MSLiP; sapa; Octave; EEGLAB
Cited in:	38 Documents

1 Publication describing the Software, including 1 Publication in zbMATH	Year
Algorithm 808: ARfit – a Matlab package for the estimation of parameters and eigenmodes of multivariate autoregressive models. Zbl 1070.65504 Schneider, Tapio; Neumaier, Arnold	2001

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2	Póczos, Barnabás
2	Stuart, Andrew M.
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1	Ciprian Patic, Paul
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1	Deistler, Manfred
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1	Georgas, Panagiotis
1	Graef, Andreas
1	Gu, Zhenghui
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1	Hanssen, Alfred
1	Harlim, John
1	He, Lin
1	Hong, Hoon
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1	Huang, Jiangchuan
1	Kiszlinger, Melinda
1	Klimchenko, V. V.
1	Komaki, Fumiyasu
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1	Kuruoglu, Ercan Engin
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1	Levine, Matthew E.
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1	Li, Yuanqing
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1	Lucarini, Valerio
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1	Mason, Rob
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1	Matteson, David S.
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1	Morari, Manfred
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1	Rosenblatt, Murray
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1	Stephani, Ulrich
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1	Teizer, Jochen
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1	Vela, Patricio A.
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