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<!DOCTYPE html PUBLIC "-//W3C//DTD HTML 4.0 Transitional//EN"><html> <head> <meta http-equiv="Content-Type" content= "text/html; charset=iso-8859-1"> <meta name="KEYWORDS" lang="en-us" content= "arfit, principal oscillation pattern, autoregressive model, stepwise least squares, order selection, spectral decomposition, eigendecomposition"> <meta name="DESCRIPTION" content="ARfit"> <title>ARfit: Fitting Multivariate Autoregressive Models</title> <style> body{ background-color: #FFFFFF; color: #333333; } p.ref{ /* for bibliography */ margin-left: 4em; text-indent: -2.5em } code{ font-family: monospace; } p.code{ margin-left: 2.5em; text-align: left; font-family: monospace; } div.cent{ text-align: center } h1{ text-align: center; } h2{ text-align: left; margin-top: 2.5ex } a:link {color: #006699; text-decoration: none} a:active {color: #999933; text-decoration: none} a:visited {color: #006699; text-decoration: none} </style> </head> <body> <table border="0" cellspacing="0" cellpadding="0" width=550 align="center"> <tr><td> <h1 class="cent">ARfit: A Matlab package for the estimation of parameters and eigenmodes of multivariate autoregressive models</h1> <div class="cent"><font size="-1"> [<a href= "http://www.mat.univie.ac.at/~neum/software/arfit/">European Mirror Site</a>] [<a href="#purpose">Purpose</a>] [<a href="#installation">Installation</a>] [<a href="#files">Module descriptions</a>] [<a href="#copyright">Copyright</a>] [<a href="#authors">Authors</a>] </font></div> <h2><font size="+1"><a name="purpose">Purpose</a></font></h2> <p>ARfit is a collection of <a href="http://www.mathworks.com/"> Matlab</a> modules for</p> <ul> <li>estimating parameters of multivariate autoregressive (AR) models,</li> <li>diagnostic checking of fitted AR models, and</li> <li>analyzing eigenmodes of fitted AR models.</li> </ul> <p>The algorithms implemented in ARfit are described in the following papers, which should be referenced if you use ARfit in publications:</p> <p class="ref">A. Neumaier and T. Schneider, 2001: <a href= "http://www.acm.org/pubs/citations/journals/toms/2001-27-1/p27-neumaier/">Estimation of parameters and eigenmodes of multivariate autoregressive models</a>. <em>ACM Trans. Math. Softw.</em>, <strong>27</strong>, 27–57.</p> <p class="ref">T. Schneider and A. Neumaier, 2001: <a href= "http://www.acm.org/pubs/citations/journals/toms/2001-27-1/p58-schneider/">Algorithm 808: ARfit - A Matlab package for the estimation of parameters and eigenmodes of multivariate autoregressive models</a>. <em>ACM Trans. Math. Softw.</em>, <strong>27</strong>, 58–65.</p> <p>ARfit has been successfully tested under Matlab 3 and later versions, up to Matlab 7.2.</p> <p>Last ARfit revision: 14 July 2006</p> <h2><font size="+1"><a name="installation">Installation</a></font></h2> <p>The ARfit package consists of a number of Matlab modules, the file <a href="CHANGES">CHANGES</a> with a history of recent revisions of the programs, and the above papers.</p> <p>To install ARfit, copy the package (available as a <a href= "arfit.zip">zip-archive</a>) into a directory that is accessible by Matlab. Unpack the package using</p> <p class="code"> unzip arfit.zip </p> <p>on Unix/Linux platforms or an equivalent command on other platforms.</p> <p>Starting Matlab and invoking Matlab's online help function</p> <p class="code"> help <i>filename</i> </p> <p>calls up detailed information on the purpose and the calling syntax of the module <code><i>filename</i>.m</code>. The script ardem.m demonstrates the basic features of the modules contained in ARfit.</p> <p>If you experience problems downloading ARfit in the packaged form, you may want to download the ARfit files individually.</p> <h2><font size="+1"><a name="files">Module descriptions</a></font></h2> <dl> <dt><a href="CHANGES">CHANGES</a></dt> <dd>A history of recent changes to ARfit.</dd> <dt><a href="acf.m">acf.m</a></dt> <dd>Plots the sample autocorrelation function of a univariate time series (using XCORR from the Matlab Signal Processing Toolbox).</dd> <dt><a href="adjph.m">adjph.m</a> (auxiliary routine)</dt> <dd>Multiplies a complex vector by a phase factor such that the real part and the imaginary part of the vector are orthogonal and the norm of the real part is greater than or equal to the norm of the imaginary part. ADJPH is required by ARMODE to normalize the eigenmodes of an AR model.</dd> <dt><a href="arconf.m">arconf.m</a></dt> <dd>Computes approximate confidence intervals for the AR model coefficients.</dd> <dt><a href="ardem.m">ardem.m</a></dt> <dd>Demonstrates the use of modules contained in the ARfit package.</dd> <dt><a href="arfit.m">arfit.m</a></dt> <dd>Stepwise selection of the order of an AR model and least squares estimation of AR model parameters.</dd> <dt><a href="../papers/arfit.pdf">arfit.pdf</a></dt> <dd>Published description of the algorithms.</dd> <dt><a href="../papers/arfit_alg.pdf">arfit_alg.pdf</a></dt> <dd>Published note on using ARfit.</dd> <dt><a href="armode.m">armode.m</a></dt> <dd>Eigendecomposition of AR model. For a fitted AR model, ARMODE computes eigenmodes and their associated oscillation periods and damping times, as well as approximate confidence intervals for the eigenmodes, periods, and damping times.</dd> <dt><a href="arord.m">arord.m</a> (auxiliary routine)</dt> <dd>Computes approximate order selection criteria for a sequence of AR models. ARORD is required by ARFIT.</dd> <dt><a href="arqr.m">arqr.m</a> (auxiliary routine)</dt> <dd><i>QR</i> factorization for least squares estimation of AR model parameters. ARQR is required by ARFIT.</dd> <dt><a href="arres.m">arres.m</a></dt> <dd>Diagnostic checking of the residuals of a fitted model. Computes the time series of residuals. The modified multivariate portmanteau statistic of Li & McLeod (1981) is used to test the residuals for uncorrelatedness.</dd> <dt><a href="arsim.m">arsim.m</a></dt> <dd>Simulation of AR processes.</dd> <dt><a href="tquant.m">tquant.m</a> (auxiliary routine)</dt> <dd>Quantiles of Student's t distribution. (TQUANT is required by ARCONF and ARMODE in the construction of confidence intervals.)</dd> </dl> <h2><font size="+1"><a name="copyright">Copyright</a></font></h2> <p><a href="http://www.acm.org/pubs/copyrights.html">© Copyright 2001</a> by the <a href="http://www.acm.org/">Association for Computing Machinery, Inc.</a> This copy is posted by permission of ACM and may not be redistributed. <h2><font size="+1"><a name="authors">Authors</a></font></h2> <table width="100%" cellpadding="0" cellspacing="0" border="0"> <tr> <td><a href="http://www.gps.caltech.edu/~tapio/">Tapio Schneider</a><br> California Institute of Technology<br> Mail Code 100-23<br> 1200 E. California Blvd.<br> Pasadena, CA 91125<br> </td> <td><a href="http://www.mat.univie.ac.at/~neum">Arnold Neumaier</a><br> Institut für Mathematik<br> Universität Wien<br> A-1090 Wien<br> Austria<br> </td> </tr> </table> </td></tr> </table> </body></html>⌨️ 快捷键说明
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