VARTA Code

VARTA Processes

Vector Autoregressive to Anything (VARTA) processes are stationary, vector time series with arbitrary marginal distributions and feasible autocorrelation structure specified through lag p.

VARTA processes are designed to be used as input to computer simulations.

VARTA Software

The VARTA software available on this page solves the correlation matching problem for fitting VARTA processes with fully specified marginals from the Johnson family of distributions. The software consists of a Windows .exe file that reads an input file and produces an output file; it is not interactive. The software is distributed "as is," without warranties of any kind, either express or implied. Please report problems to billerb@andrew.cmu.edu

Latest Release: 9/9/02.

VARTA Help File. Read this first.
main.exe is the VARTA fitting program.
Sample input files for testing:
VARTA.dat is an input file for main.exe. Save as VARTA.dat.
The example is a trivariate time series with order-1 dependence.
The output from running this example should be VARTA.out.