trfun2var

Calculate coefficients from VAR transfer function

Syntax

   [A,p] = trfun2var(H,p)

Arguments

See also Common variable names and data structures.

input

   H          VAR transfer function matrix
   p          VAR model order = number of lags (default: calculate automatically)

output

   A          VAR coefficients matrix
   p          VAR model order = number of lags

Description

Return coefficients A for VAR with transfer function H. If a VAR model order p is not specified (default), then it is set automatically according to the frequency resolution of the transfer function.

References

[1] L. Barnett and A. K. Seth, The MVGC Multivariate Granger Causality Toolbox: A New Approach to Granger-causal Inference, J. Neurosci. Methods 223, 2014 [ preprint ].

See also

var2trfun | cpsd_to_var