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Stochastic concepts and maximum entropy methods for time series analysis in Octave.

The TSA toolbox is useful for analysing Time Series. The methods are based on stochastic concepts and maximum entropy methods. It includes:

  • Stochastic Signal processing
  • Autoregressive Model Identification
  • adaptive autoregressive modelling using Kalman filtering
  • multivariate autoregressive modelling
  • maximum entropy spectral estimation
  • matched (inverse) filter design
  • Histogram analysis
  • Calcution of the entropy of a time series
  • Non-linear analysis (3rd order statistics)
  • Test for UnitCircle- and Hurwitz- Polynomials
  • multiple signal processing




Download version 4.4.5 (stable)
released on 3 January 2017

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Extension or Plugin

This package can be used as an extension, plugin, or add-on to:


LicenseVerified byVerified onNotes
License:GPLv2orlaterKelly Hopkins31 July 2009

Leaders and contributors

Alois Schloegl Maintainer

Resources and communication

AudienceResource typeURI
DeveloperVCS Repository Webviewhttps://sourceforge.net/p/octave/tsa/

Software prerequisites

Required to useOctave >= 2.9.7

This entry (in part or in whole) was last reviewed on 17 January 2017.


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