Elements of Multivariate Time Series Analysis

In this revised edition, some additional topics have been added to the original version, and certain existing materials have been expanded, in an attempt to provide a more complete coverage of the topics of time-domain multivariate time series modeling and analysis. The most notable new addition is an entirely new chapter that gives accounts on various topics that arise when exogenous vari­ ables are involved in the model structures, generally through consideration of the so-called ARMAX mo...