The subroutines TSMULMAR, TSMLOMAR, and TSPRED analyze multivariate time series. The periodic AR model, TSPEARS, can also be estimated by using a vector AR procedure, since the periodic AR series can ...

and conditioning is performed by applying multiple convolutional filters in parallel to separate time series, which allows for the fast processing of data and the exploitation of the correlation ...

A model-based inference procedure based on a multivariate structural time series model is developed for the production of monthly figures about consumer confidence. The structural time series model ...