More research on #VectorAutoRegression got me digging into #SpectralRadius which is the magnitude of the largest-magnitude #Eigenvalue. This is analogous to the pole radius in regular single variable #ZTransform representation: if it's less than 1 all should be fine, bigger than 1 and it becomes unstable.
So I'm now normalizing all the feedback coefficient matrices by the largest spectral radius among them and a bit more, so that the new largest radius is less than 1, and it seems stable even in the presence of morphing.
The attached is heavily dynamics compressed, as it was a bit peaky otherwise.
#VectorAutoRegression #SpectralRadius #eigenvalue #ZTransform