This program fits (by means of least squares) a simple autoregressive (AR) model to the possibly multivariate data. The model is given by the equation

The output file contains the coefficients of the model and the residuals. Note that now the mean is subtracted first, conforming with common practice. If you want to run the resulting model to generate a time series, you can either use the

Everything not being a valid option will be interpreted as a potential datafile name. Given no datafile at all, means read stdin. Also - means stdin

Possible options are:

Option | Description | Default |
---|---|---|

-l# | number of data to use | whole file |

-x# | number of lines to be ignored | 0 |

-m# | dimension of the vectors | 1 |

-c# | column to be read | 1,...,dimension of the vectors |

-p# | order of the model | 5 |

-s# | iterate s steps of the model | no iteration |

-o# | output file name | without file name: 'datafile'.ar (or stdin.ar if stdin was used) if no -o is given stdout is used |

-V# | verbosity level 0: only panic messages 1: add input/output messages 2: print residuals though iterating a model | 1 |

-h | show these options | none |

View the C-sources

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