Elements of Multivariate Time Series Analysis - 2. Pr., corr. - New York, Berlin, Heidelberg : Springer-Verlag 1995 - xiv, 263 pp., 11 Illustrations - Springer Series in Statistics Fienberg, S. (Ed.) Gani, J. (Ed.) Krickeberg, K. (Ed.) et al. .

from the Table of Contents: Preface; Vector Time Series and Model Representations; Vector ARMA Time Series Models and Forecasting; Canonical Structure of Vector ARMA Models; Initial Model Building and Least Squares Estimation for Vector AR Models; Maximum Likelihood Estimation and Model Checking for Vector ARMA Models; Reduced-Rank and Nonstationary Co-Integrated Models; State-Space Models, Kalman Filtering, and Related Topics; Appendix: Time Series Data Sets; Exercises and Problems;

0-387-94063-4

Time-series analysis

Multivariate analysis

519 Probabilities and applied mathematics