mAr.eig {mAr} | R Documentation |
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
mAr.eig(A, C, ...)
A |
matrix of estimated autoregression coefficients |
C |
noise covariance matrix |
... |
additional arguments for specific methods |
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 |
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.
Schneider, T. and Neumaier, A. (2001), A Matlab package fo the estimation of parameters and eigenmodes of multivariate autoregressive models, 27, 1, 58-65.
data(pinkham) y=mAr.est(pinkham,2,5) mAr.eig(y$AHat,y$CHat)