== Multivariate Autoregressive Library

Multivariate Autoregressive Library (libmvar) is a library written in ANSI C
for estimating the parameters of multivariate AR models, simulation of
multivariate AR processes, and analyzing eigenmodes of fitted multivariate AR
models. Multivariate Autoregressive Library currently depends on GSL for its
linear algebra operations.

The algorithms implemented in libmvar are described in the publications listed
in the reference section of this readme. For the sake of better readability,
the variable names are chosen to match the ones used in the referred
publications.

== Availability

Binaries and sources can be found on libmvar's web site:

  http://libmvar.deviate.fi/

== Authors

Karim Osman <karim.osman@helsinki.fi>

== License

Multivariate Autoregressive Library is distributed under the MIT License. See
LICENSE file for details.

== References

Neumaier, A. and Schneider, T. (2001), Estimation of parameters and eigenmodes
of multivariate autoregressive models. ACM Transactions on Mathematical
Software, 27, 1, 27-57.

Schneider, T. and Neumaier, A. (2001), A Matlab package fo the estimation of
parameters and eigenmodes of multivariate autoregressive models, 27, 1, 58-65.