var_decay

Decay VAR coefficients

Syntax

   A = var_decay(A,dfac)

Arguments

See also Common variable names and data structures.

input

   A          VAR coefficients matrix
   dfac       decay factor

output

   A          decayed VAR coefficients matrix

Description

Exponentially decay VAR coefficients A by factor dfac, which controls how fast coefficients decay with lag. This will, in particular, affect the spectral radius (see var_specrad) of the coefficients.

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

var_specrad