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Last data update: 2014.03.03

R: Eigendecomposition of m-variate AR(p) model

mAr.eig

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

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)