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Multivariate time series models

Igor Hlivka, MThree Consulting
Posted 12 years ago

Time series analysis does not stop on individual series cases and naturally extends into multivariate specification. When individual series in the dataset are dependent, multivariate time series analysis gets much more desirable since it captures the critical dependency structure which is invisible in univariate specification. We demonstrate the ease of model extension into higher dimension and present more advanced treatment of time series models when parameters and input get stochastic.

Bivariate TS simulation

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POSTED BY: Igor Hlivka
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POSTED BY: Igor Hlivka

Dear Igor, thanks a lot for the code. I understand how it works now.
POSTED BY: Ruben Garcia Berasategui

Hi Igor, I'm going through your file trying to replicate the results in Mathematica but I'm having difficulties recreating all the graphs except for the first 3. Would it be possible to know the Mathematica code to generate the rest of the graphs? Many thanks in advance, Ruben
POSTED BY: Ruben Garcia Berasategui
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