Multidimensional time series
Marianna Bolla, Tamás Szabados · 2021
In this chapter we investigate properties of multidimensional, weakly stationary time series, similarly to the 1D case. From the literature we use the following important ones: [ 11 , 14 , 22 , 28 , 29 , 35 , 36 , 39 , 41 , 47 , 51 , 54 , 59 , 60 ]. In contrast to Chapter 2 , here we proceed deductively: from the most general constant rank processes, via regular (causal) ones, to the VARMA (vector autoregressive) processes and state space models.