Multivariable Time Series Analysis and Its Application
Hongxing Yao · Science Technology and Engineering · 2008
In the non-linear dynamics system, univariate time series has conducted extensive research. Multivariable time series dependence are discussed and it was applied to forecasting. It generalizes these methods, wavelet neural networks and principal component analysis (PCA), to multivariate time series. The use of multivariate prediction techniques is especially useful when time series are short but several variables have been measured simultaneously. These additional variables can sometimes supply more effective in formation, thus obtaining better prediction results.