The program ARVEC fits a multivariate autoregression of any specified order p < 21 to a multivariate time series {Yt = (Y t 1,…, Y tm )′, t = 1,…, n}. To run the program, double click on the icon arvec in the itsmw window (or type ARVEC ↩ from the DOS prompt) and you will see a title page followed by a brief introductory statement describing the program. After reading this statement, follow the program prompts, selecting the option [Enter data] by typing the highlighted letter E. You will then be asked to enter the dimension m ≤ 6 (m ≤ 11 for ITSM50) of Yt and to select the file containing the observations {Yt,t = 1,…,n}. For example, to model the bivariate data set LS2.DAT you would enter the dimension m = 2 and then select the file LS2.DAT from the list of data files. The data must be stored as an ASCII file such that row t contains the m components, Y t = {Y t 1,…,Y tm )′, each separated by at least one blank space. (The sample size n can be at most 700 for ITSM41 and 10000 for ITSM50.) The value of n will then be printed on the screen and you will be given the option of plotting the component series.


Component Series Multivariate Time Series Title Page Noise Covariance Matrix ASCII File 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Copyright information

© Springer-Verlag New York, Inc. 1994

Authors and Affiliations

  1. 1.Mathematics DepartmentRoyal Melbourne Institute of TechnologyMelbourneAustralia
  2. 2.Department of StatisticsColorado State UniversityFort CollinsUSA

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