This paper proposes a canonical transformation of a k-dimensional stationary autoregressive process. The components of the transformed process are ordered from least to most predictable. The least ...

P. Whittle, The Analysis of Multiple Stationary Time Series, Journal of the Royal Statistical Society. Series B (Methodological), Vol. 15, No. 1 (1953), pp. 125-139 ...

For things like sensor data where the data format tends to be rather simple (timestamp and value), a time series database (TSD) can be an efficient option as the full feature set of e.g. a full ...