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ARfit is a collection of Matlab modules for

• estimating parameters of multivariate autoregressive (AR) models,
• diagnostic checking of fitted AR models, and
• analyzing eigenmodes of fitted AR models.

The algorithms implemented in ARfit are described in the following papers:

1. Neumaier and T. Schneider, 2001: Estimation of parameters and eigenmodes of multivariate autoregressive models. ACM Trans. Math. Softw., 27, 27–57.
2. Schneider and A. Neumaier, 2001: Algorithm 808: ARfit - A Matlab package for the estimation of parameters and eigenmodes of multivariate autoregressive models. ACM Trans. Math. Softw., 27, 58–65.