Abstract: Many time series arising in practice are best considered as components of some vector-valued (multivariate) time series {X t } having not only serial dependence within each component series {X ti } but also interdependence between the different component series {X ti } and {X tj }, i ≠ j. Much of the theory of univariate time series extends in a natural way to the multivariate case; however, new problems arise. In this chapter we introduce the basic properties of multivariate series and consider the multivariate extensions of some of the techniques developed earlier. In Section 7.1 we introduce two sets of bivariate time series data for which we develop multivariate models later in the chapter.
Publication Year: 2002
Publication Date: 2002-01-01
Language: en
Type: book-chapter
Indexed In: ['crossref']
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