E. J. Hannan, L. Kavalieris, Multivariate Linear Time Series Models, Advances in Applied Probability, Vol. 16, No. 3 (Sep., 1984), pp. 492-561 ...

We study the time-reversibility of multivariate linear processes, introducing a necessary and sufficient condition related to linear transforms of the multivariate linear process. Conditions analogous ...

This paper considers the problem of jointly decomposing a set of time series variables into cyclical and trend components, subject to sets of stochastic linear restrictions among these cyclical and ...

Learn how to build a multivariate linear regression model step by step—no libraries, just pure C++ logic!