| mAr.eig {mAr} | R Documentation |
Eigendecomposition of m-variate AR(p) model
Description
Eigen-decomposition of the estimated matrix of autoregressive coefficients from an m-variate AR(p) model
Usage
mAr.eig(A, C = NULL, ...)
Arguments
A |
matrix of estimated autoregression coefficients |
C |
noise covariance matrix |
... |
additional arguments for specific methods |
Value
A list with components:
modes |
periods and damping times associated to each eigenmode |
eigv |
m*p m-dimensional eigenvectors |
Author(s)
S. M. Barbosa
References
Barbosa S.M., Silva M.E., Fernandes M.J. (2006), Multivariate autoregressive modelling of sea level time series from TOPEX/Poseidon satellite altimetry. Nonlinear Processes in Geophysics, 13, 177-184.
Neumaier, A. and Schneider, T. (2001), Estimation of parameters and eigenmodes of multivariate autoregressive models. ACM Transactions on Mathematical Software, 27, 1, 27-57.
Schneider, T. and Neumaier, A. (2001), A Matlab package fo the estimation of parameters and eigenmodes of multivariate autoregressive models, 27, 1, 58-65.
Examples
data(pinkham)
y=mAr.est(pinkham,2,5)
mAr.eig(y$AHat,y$CHat)