Models for Dependent Time Series - Granville Tunnicliffe Wilson - Bog

This book addresses the issues that arise and the methodology that can be applied when the dependence between time series is described and modeled. It shows how to draw meaningful, applicable, and statistically valid conclusions from multivariate (or vector) time series data. The book presents several extensions to the standard autoregressive model and other novel material developed by the authors that has not been published elsewhere. Data sets, MATLAB® code, and additional material are available on a supplementary website.