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Algorithm 808: ARfit – A Matlab package for the estimation of parameters and eigenmodes of multivariate autoregressive models

Schneider, T., and A. Neumaier, 2001: Algorithm 808: ARfit – A Matlab package for the estimation of parameters and eigenmodes of multivariate autoregressive models.
ACM Transactions on Mathematical Software, 27, 58-65.
[PDF] [Official version] [Matlab code]