mVARbox: A tool for time series modelling, spectral estimation and synthetic data generation
mVARbox is a Matlab toolbox for uni/multivariate data series analysis in both time and frequency domains, with special focus on multivariate autoregressive (VAR) models. By using mVARbox, you will be able to, among others:
estimate auto/cross spectra from time series using different estimation methods (Welch, Blackman-Tukey, Daniell, etc.),
obtain optimal Autoregressive models that reproduce a predefined target covariance/spectral structure,
generate uni/multivariate synthetic time series (watch an example video).
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mVARbox is a software tool developed by professors and students of the Rotary Wing and Wind Turbines unit (ARYA) within the Department of Aircraft and Space Vehicles at the Universidad Politécnica de Madrid (UPM).
mVARbox is specifically designed for educational and research purposes. It is released under MIT license.
To get a fresh copy of mVARbox, clone the git repository located here. You can also download it directly.
How to use mVARbox