An Introduction to Applied Multiple Time Series Analysis.

Abstract

An approach to the modelling and analysis of multiple time series is proposed. Properties of a class of vector autoregressive moving average models are discussed. Modelling procedures consisting of tentative specification, estimation and diagnostic checking are outlined and illustrated by three real examples. Various eigenvalue-eigenvector analyses are presented and some alternative approaches to multiple time series are briefly discussed. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Oct 01, 1979
Accession Number
ADA080709

Entities

People

  • G. C. Tiao
  • George E. P. Box

Organizations

  • University of Wisconsin Madison Department of Statistics

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Abstracts
  • Classification
  • Contracts
  • Eigenvalues
  • Eigenvectors
  • Intervention
  • Mathematics
  • Military Research
  • Monitoring
  • Periodic Variations
  • Plastic Explosives
  • Security
  • Specifications
  • Statistics
  • Time Series Analysis
  • Transfer Functions

Fields of Study

  • Mathematics

Readers

  • Statistical inference.
  • Theoretical Analysis.