Estimation of m-variate AR(p) model in reduced PCA space (for dimensionality reduction) and eigen-decomposition of augmented coefficient matrix

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`x` |
matrix of multivariate time series |

`p` |
model order |

`k` |
number of principal components to retain |

`...` |
additional arguments for specific methods |

A list with components:

`p` |
model order |

`SBC ` |
Schwartz Bayesian Criterion |

`fraction.variance` |
fraction of variance explained by the retained components |

`resid` |
residuals from the fitted model |

`eigv` |
m*p m-dimensional eigenvectors |

`modes` |
periods and damping times associated to each eigenmode |

S. M. Barbosa

Neumaier, A. and Schneider, T. (2001), Estimation of parameters and eigenmodes of multivariate autoregressive models. ACM Transactions on Mathematical Software, 27, 1, 27-57.

`mAr.est`

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