Multivariate Time Series Analysis and Applications

An essential guide on high dimensional multivariate time series including all the latest topics from one of the leading experts in the field

Following the highly successful and much lauded book, Time Series Analysis—Univariate and Multivariate Methods, this new work by William W.S. Wei focuses on high dimensional multivariate time series, and is illustrated with numerous high dimensional empirical time series. Beginning with the fundamentalconcepts and issues of multivariate time series ana...