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Date added: 1.1.2015
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This is an introduction to the basic concepts and methods that are useful in the analysis and modelling of multivariate time series data that may arise in business and economics, engineering, the geophysical sciences, and other fields. The bookMoreThis is an introduction to the basic concepts and methods that are useful in the analysis and modelling of multivariate time series data that may arise in business and economics, engineering, the geophysical sciences, and other fields. The book concentrates on the time-domain analysis of multivariate time series, and assumes a background in univariate time series analysis. It covers basic topics such as stationary processes and their covariance matrix structure, vector AR, MA, and ARMA models, forecasting, least squares and maximum likelihood estimation for ARMA models, associated likelihood ratio testing procedures, and other model specification methods useful for model building and model checking. Elements Of Multivariate Time Series Analysis by Gregory C. Reinsel
