Elements of Multivariate Time Series Analysis by Gregory C. Reinsel, Paperback | Indigo Chapters

In this revised edition, some additional topics have been added to the original version, and certain existing materials have been expanded, in an attempt to pro­ vide a more complete coverage of the topics of time-domain multivariate time series modeling and analysis. The most notable new addition is an entirely new chapter that gives accounts on various topics that arise when exogenous vari­ ables are involved in the model structures, generally through consideration of the so-called ARMAX models; this includes some consideration of multivariate linear regression models with ARMA noise structure for the errors. Some other new material consists of the inclusion of a new Section 2. 6, which introduces state-space forms of the vector ARMA model at an earlier stage so that readers have some exposure to this important concept much sooner than in the first edi­ tion; a new Appendix A2, which provides explicit details concerning the rela­ tionships between the autoregressive (AR) and moving average (MA) parameter coefficient matrices and the corresponding covariance matrices of a vector ARMA process, with descriptions of methods to compute the covariance matrices in terms of the AR and MA parameter matrices; a new Section 5. | Elements of Multivariate Time Series Analysis by Gregory C. Reinsel, Paperback | Indigo Chapters