This site provides software for fitting autoregressive models to time series using the approaches developed by Huerta and West in recent papers. The approach involves a focus on the underlying latent component structure of time series models, and handles problems of uncertainty about model order and possible unit roots. Feel free to download and explore, and let us have your feedback as we update the material. Any identified bugs will be added to our bug sheet so please check there first before contacting us The ftp site provides four Fortran files and one S-Plus, together with data and model input files. This is bundled here as a zipped unix directory. Alternatively, you can directly download the the full directory structure and individual files (unzipped) from here. The "readme.dat" file in the directory gives full details of the software and its uses. The background, models and examples of analysis using this approach are given in the two papers below, the first being the primary source for model and analysis details.
Key references:
Enquiries or question to gheurta@stat.unm.edu or mw@stat.duke.edu
This material is based upon work supported by the National Science Foundation under
Grant No. 9704432.
This software is made freely available to any interested user. The authors can provide no support nor assistance with implementations beyond the details and examples here, nor extensions of the code for other purposes. The download has been tested to confirm all details are operational as described here. It is understood by the user that neither the authors nor Duke University bear any responsibility nor assume any liability for any end-use of this software. It is expected that appropriate credit/acknowledgement be given should the software be included as an element in other software development or in publications.
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