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MULTIVARIATE TIME SERIES & FORECASTING

MULTIVARIATE TIME SERIES & FORECASTING. : autocovariance function of the individual time series . Vector ARMA models. Stationarity. if the roots of the equation are all greater than 1 in absolute value . Then : infinite MA representation. Invertibility.

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MULTIVARIATE TIME SERIES &amp; FORECASTING

MULTIVARIATE TIME SERIES & FORECASTING