Multivariate Time Series

Review for Univariate :

E(Zt ) = μ
Cov(Zt , Zt ) = E(Zt − μ)(Zt − μ) = E(Zt − μ)2 = σ 2
γ(t1 , t2 ) = Cov(Zt1 , Zt2 ) = E(Zt1 − μ1 )(Zt2 − μt2 )
/eq

Basics
Covariance & Correlation Matrix :
′
Let Zt = [Z1,t , Z2,t , ⋯ ⋯ , Zm,t ] the matrix of variable

⎡ E(Z1,t ) ⎤ ⎡ μ1 ⎤

E(Z2,t μ2
∴ E(Zt ) = = =μ
⋮ ⋮

⎣E(Zm,t )⎦ ⎣μm ⎦

Multivariate Time Series 1