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Time Series, Health & Evidence Synthesis · Time Series & Forecasting

Multivariate Time Series Analysis — Advanced Statistical Theory

Public introduction · full guide in Eikos

Introduction

What this guide covers

Introduction Introduction Mathematical Statistics — Advanced Models

Overview

Topics covered

  • Introduction
  • Multivariate Time Series
  • Introduction and Theoretical Context
  • Statistical Motivation and Covariance Decomposition
  • Statistical Notation and Matrix Structures
  • Decomposition of Vectors and Coefficient Matrices

Related concepts

Main connections

  • Linear algebra & matrices
  • Time series & ARIMA
  • Variance & standard deviation
  • Residual analysis & diagnostics
  • Hypothesis testing
  • Maximum likelihood estimation

Compatible notation

Mathematical sample in LaTeX

The expression is rendered accessibly, with its LaTeX source preserved below.

𝚪(h)=E[(𝐲t−𝛍)(𝐲t−h−𝛍)']
View LaTeX source\boldsymbol{\Gamma}(h) = E\left[ \left(\mathbf{y}_t - \boldsymbol{\mu}\right)\left(\mathbf{y}_{t-h} - \boldsymbol{\mu}\right)' \right]