mAr.eig {mAr}R Documentation

Eigendecomposition of m-variate AR(p) model

Description

Computation of the oscillation periods and damping rates of a system modeled by a m-variate AR(p) model from eigen-decomposition of the estimated matrix of autoregressive coefficients

Usage

mAr.eig(A, C, ...)

Arguments

A matrix of estimated autoregression coefficients
C noise covariance matrix
... additional arguments for specific methods

Value

A list with components:

dampTime damping times associated with each eigenmode
period periods associated with each eigenmode
excitations relative dynamical importance of modes
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)

[Package mAr version 1.0-3 Index]