This study is devoted to the analysis of multivariate time series data. Such data might arise in business and economics, engineering, geophysical sciences, agriculture, and many other fields. The emphasis is on providing an account of the basic concepts and methods which are useful in analyzing such data. The book presupposes a familiarity with univariate time series as might be gained from one term of a graduate course, but it is otherwise self-contained. It covers the basic topics such as autocovariance matrices of stationary processes, vector ARMA models and their properties, forecasting ARMA processes, least squares and maximum likelihood estimation techniques for vector AR and ARMA models, and associated likelihood ratio testing procedures for model building. In addition, it presents more advanced topics and techniques including reduced rank structure, structural indices, scalar component models, canonical correlation analyses for vector time series, multivariate nonstationary unit root models and co-integration structure, and state-space models and Kalman flltering techniques.
- ISBN10 1468401998
- ISBN13 9781468401998
- Publish Date 10 August 1995 (first published September 1993)
- Publish Status Withdrawn
- Out of Print 18 October 2014
- Publish Country US
- Imprint Springer My Copy UK
- Format Paperback (US Trade)
- Pages 280
- Language English