Software for MultiScale Autoregressive Modeling w/ Wavelets
Version: 1.3MSAR-W is a software package in Matlab for working with MultiScale AutoRegressive models using Wavelets (MSAR-W). MSAR-W lets you fit multiscale AR models, analyze them and send them to others in a collaborative manner.
Operating System: Mac OS X
MSAR-W was written and tested in Matlab 5.2. MSAR-W needs nothing except base Matlab i.e. no Matlab toolboxes required.
MSAR-W produces multi-scale autoregressive (AR) models of data. If the data is multi-scale, MSAR-W is able to produce better-fitting models than the usual conventional AR models.
Multi-scale data is characteristic of many different phenomena. Some example are econometric time series, climatic data, traffic loads on Internet routers, electrical power loads and fractal data. Data described by fractional Brownian motion (fBm) frequently display multi-scale characteristics.