Multivariate Time Series Analysis 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, ...

Panels of nonlinear time series data are increasingly collected in scientific studies, and a fundamental problem is to study the common dynamic structures of such data. We propose a new model for ...

Series C (Applied Statistics), Vol. 62, No. 2 (MARCH 2013), ... Linear multiregression dynamic models, which combine a graphical representation of a multivariate time series with a state space model, ...

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 ...

We will also discuss nonstationarity and multivariate time series if time permits. Teaching. This course will be delivered through a combination of classes and lectures totalling a minimum of 25 hours ...