Multivariate time series analysis and applications - Wei, William W. S. (WIley, 2019)
Fundamental concepts and issues of multivariate time series analysis -- Vector time series models -- Multivariate time series regression models -- Principle component analysis of multivariate time series -- Factor analysis of multivariate time series -- Multivariate garch models -- Repeated measurements -- Space-time series models -- Multivariate spectral analysis of time series -- Dimension reduction in high dimensional multivariate time series analysis.
Includes bibliographical references and index.
Keywords: Time-series analysis