The model selection criterion takes into account all of the pairwise cross-correlation simultaneously in the multivariate time series. The proposed SLEX analysis gives results that are easy to ...

Jinyuan Chang, Bin Guo, Qiwei Yao, PRINCIPAL COMPONENT ANALYSIS FOR SECOND-ORDER STATIONARY VECTOR TIME SERIES, The Annals of Statistics, Vol. 46, No. 5 (October 2018), pp. 2094-2124 ...

The second half of the course focus on multivariate and high dimensional time series: Factor modelling for vector and matrix-valued time series; Multivariate GARCH and regularisation methods. Simple ...

In most cases, multivariate analysis is conducted by data scientists using advanced statistical software. Most information on these analysis techniques is written with these experts in mind, while ...