‫المختصر المفيد لرياضيات‬

‫‪"IT'S NOT VERY OFTEN YOU GET TO ENTER THE MIND OF A GENIUS. WHAT A THRILL!" - MIDAS BROWN‬‬

‫السالسل الزمنية متعددة المتغيرات‬

‫"لمحمد بن عاصم الراشدى"‬

‫تحت إشراف الدكتور ‪ /‬أحمد الشهاوى‬

‫‪Multivariate Time Series‬‬

 📈
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 )
γ(t1 ,t2 )
ρ(t1 , t2 ) = σt2 σt2
1 2

γ(k) = Cov(Zt−k , Zt ) = Cov(Zt , Zt+k )

γ(k)
ρ(k) = γ(0)

E(at at−k ) = {
σ2 ,k = 0
0 k>0

🔰 Basics for Multivariate

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

Expected Matrix Function :

⎡ E(Z1,t ) ⎤ ⎡ μ1 ⎤

E(Z2,t μ2
∴ E(Zt ) = = =μ
⋮ ⋮

⎣E(Zm,t )⎦ ⎣μm ⎦

Covariance Matrix Function :

∵ Γ(k) = Cov(Zt , Zt+k )

′
∴ Γ(k) = E(Zt Zt+k ) = E(Zt − μ)(Zt+k − μ)′

Multivariate Time Series 1

 ⎡ (Z1,t − μ) ⎤

(Z2,t − μ)
=E [(Z1,t+k − μ) (Z2,t+k − μ) ⋯ (Zm,t+k − μ)]
⋮

⎣(Zm,t − μ)⎦

⎡ (Z1,t − μ)(Z1,t+k − μ) (Z1,t − μ)(Z2,t+k − μ) ⋯ ⋯ (Z1,t − μ)(Zm,t+k − μ) ⎤

(Z2,t − μ)(Z1,t+k − μ) (Z2,t − μ)(Z2,t+k − μ) ⋯ ⋯ ⋮
=E
⋮ ⋮ ⋱ ⋮
⎣(Zm,t − μ)(Z1,t+k − μ) ⋯ ⋱ (Zm,t − μ)(Zm,t+k − μ)⎦

⎡ γ11(k) γ12(k) ⋯ ⋯ γ1m(k) ⎤

γ21(k) γ22(k) ⋮ ⋮ ⋮
=

⎣γ … ⋱ γmm(k) ⎦
⋮ ⋮ ⋱ ⋮
m1(k) …

Correlation Matrix Function :

Let D = diag [γ11 (0) γ22 (0) … γmm (0)]
For Example let m =2

⎡γ11 (0) 0 ⎤
∵D=
⎣ 0 γ22 (0)⎦

⎡ ⎤
1
0
γ11 (0)
∴ D−1/2 =
⎣ 0 1
⎦
γ22 (0)

⎡γ11 (k) γ12 (k)⎤

∵ Γ(k) =
⎣γ21 (k) γ22 (k)⎦

∴ D−1/2 Γ(k)D−1/2 =

⎡ ⎤ ⎡γ11 (k) γ12 (k)⎤ ⎡ ⎤

1 1
0 0
γ11 (0) γ11 (0)

⎣ 0 1
⎦ ⎣γ21 (k) γ22 (k)⎦ ⎣ 0 1
⎦
γ22 (0) γ22 (0)

⎡ γ11 (0) γ22 (0) ⎤

γ11 (k) γ12 (k)
γ11 (0)
=
⎣ ⎦
γ21 (k) γ22 (k)
γ11 (0) γ22 (0) γ22 (0)

⎡ρ11 (k) ρ12 (k)⎤

=
⎣ρ21 (k) ρ22 (k)⎦

∴ P(k) = D−1/2 Γ(k)D−1/2

📌 Keys ′
Γ(k) = E(Zt Zt+k ) = E(Zt−k Zt′ )

Multivariate Time Series 2

 Γ(k) = Γ′ (−k)
P(k) = P′ (−k)
⎧Σ ,k = 0
E(at a′t+k ) = ⎨
⎩
0 ,k 
=0
Γ′ (0) = Γ(0)
Σ′ = Σ

🔰 VAR(1)
📌 Model :
Zt = Φ1 Zt−1 + at

∴ Zt − Φ1 Zt−1 = at
= (I − Φ1 B)Zt = at

📌 Stationarity and Invertibility Condition :

The VAR(1) Process is always invertible

The condition of stationarity is

The all eigenvalues of ∣λI − Φ1 ∣ = 0 lie inside the unit circle

∣λi ∣ < 1

📌 Covariance Matrix Function :

∵ Γ(k) = E(Zt−k Zt′ )

∴ Γ(k) = E[Zt−k (Φ1 Zt−1 + at )′ ]

′
= E[Zt−k (Zt−1 Φ′1 + a′t )]
= E(Zt−k Zt−1 )Φ′1 + E(Zt−k a′t )
′

⎧ Γ(−1)Φ′1 + Σ ,k = 0
=⎨
⎩
Γ(k − 1)Φ′1 = Γ(0)(Φ1 )k ,k ≥ 1

📌 Variance-Covariance Matrix Function :

∴ Γ(1) = Γ(0)Φ′1 , when k = 1

= Φ′1 = Γ−1 (0)Γ(1)

= Φ1 = Γ′ (1)Γ−1 (0)

Multivariate Time Series 3

 ∴ Γ(0) = Γ(−1)Φ′1 + Σ
= Γ(−1)Γ−1 (0)Γ(1) + Σ
= Γ′ (1)Γ−1 (0)Γ(1) + Σ
= Γ′ (1)Γ−1 (0)Γ(0)Γ−1 (0)Γ(1) + Σ
= Φ1 Γ(0)Φ′1 + Σ

Another way

∵ Γ(0) = E(Zt Zt′ )

= E[(Φ1 Zt−1 + at )(Φ1 Zt−1 + at )′ ]
′
= E[(Φ1 Zt−1 + at )(Zt−1 Φ′1 + a′t )]
′
= Φ1 E(Zt−1 Zt−1 )Φ′1 + Φ1 E(Zt−1 a′t ) + E(at Zt−1
′
)Φ′1 + E(at a′t )
= ΦΓ(0)Φ′1 + Σ

∴ vec(Γ(0)) = vec(Φ1 Γ(0)Φ′1 ) + vec(Σ)

= vec(Γ(0)) = (Φ1 ⊗ Φ1 )vex(Γ(0)) + vec(Σ)
= vec(Γ(0)) − (Φ1 ⊗ Φ1 )vex(Γ(0)) = vec(Σ)
= [I − (Φ1 ⊗ Φ1 )]vec(Γ(0)) = vec(Σ)
= vec(Γ(0)) = [I − (Φ1 ⊗ Φ1 )]−1 vec(Σ)

🔰 VAR(2)
📌 Model :
Zt = Φ1 Zt−1 + Φ2 Zt−2 + at

∴ (I − Φ1 B − Φ2 B)Zt = at

📌 Stationarity and Invertibility Condition :

The VAR(2) is always invertible

The Stationary Condition is

the all eigenvalues of ∣λI − Φ1 − λ−1 Φ2 ∣ = 0 lie inside the unit circle.

∣λi ∣ < 1

📌 Covariance Matrix Function :

∴ Γ(k) = E[(Zt−k Zt′ )
= E[(Zt−k (Φ1 Zt−1 + Φ2 Zt−2 + at )′ ]
′
= E[Zt−k (Zt−1 Φ′1 + Zt−2
′
Φ′2 + a′t )]
′
= E(Zt−k Zt−1 )Φ′1 + E(Zt−k Zt−2
′
)Φ2 + E(Zt−k a′t )

⎧ Γ(−1)Φ′1 + Γ(−2)Φ′2 + Σ ,k = 0
=⎨
⎩
Γ(k − 1)Φ′1 + Γ(k − 2)Φ′2 ,k ≥ 0

📌 Variance-Covariance Function :

Multivariate Time Series 4

 ∴ Γ(0) = E(Zt Zt′ )
= E[(Φ1 Zt−1 + Φ2 Zt−2 + at )(Φ1 Zt−1 + Φ2 Zt−2 + at )′ ]
′
= E[(Φ1 Zt−1 + Φ2 Zt−2 + at )(Zt−1 Φ′1 + Zt−2′
Φ′2 + a′t )]
′
= Φ1 E(Zt−1 Zt−1 )Φ′1 + Φ1 E(Zt−1 Zt−2′
)Φ′2 + Φ1 E(Zt−1 a′t ) + Φ2 E(Zt−2 Zt−1
′
)Φ′1
′
+ Φ2 E(Zt−2 Zt−2 )Φ′2 + Φ2 E(Zt−2 a′t ) + E(at Zt−1
′
)Φ′1 + E(at Zt−2
′
)Φ′2 + E(at a′t )
= Φ1 Γ(0)Φ′1 + Φ1 Γ(−1)Φ′2 + Φ2 Γ(1)Φ′1 + Φ2 Γ(0)Φ′2 + Σ

∴ vec(Γ(0)) = (Φ1 ⊗ Φ1 )vec(Γ(0)) + (Φ2 ⊗ Φ1 )vec(Γ(−1)) + (Φ1 ⊗ Φ2 )vec(Γ(1)) + −vec(Γ(0)) + vec(Σ)

vec(Γ(0)) − (Φ1 ⊗ Φ1 )vec(Γ(0)) − (Φ2 ⊗ Φ2 )vec(Γ(0)) = (Φ2 ⊗ Φ1 )vec(Γ(−1))

=
+ (Φ1 ⊗ Φ2 )vec(Γ(1)) + vec(Σ)

= [I − (Φ1 ⊗ Φ1 ) − (Φ2 ⊗ Φ2 )]vec(Γ(0)) = (Φ2 ⊗ Φ1 )vec(Γ(−1)) + (Φ1 ⊗ Φ2 )vec(Γ(1)) + vec(Σ)

= vec(Γ(0)) = [I − (Φ1 ⊗ Φ1 ) − (Φ2 ⊗ Φ2 )]−1 [(Φ2 ⊗ Φ1 )vec(Γ(−1)) + (Φ1 ⊗ Φ2 )vec(Γ(1)) + vec(Σ)]

🔰 VMA(1)
📌 Model
Zt = at − Θ1 at−1

∴ Zt = (I − Θ1 B)at

📌 Stationarity and Invertibility Condition :

The VMA(1) process is always Stationary

The Condition of invertibility is

The all eigenvalues of ∣λI − Θ1 ∣ = 0 lie inside the unit circle

∣λi ∣ < 1

📌 Covariance Matrix Function :

∴ Γ(k) = E(Zt−k Zt′ )
= E[(at−k − Θ1 at−k−1 )(at − Θ1 at−1 )′ ]
= E[(at−k − Θ1 at−k−1 )(a′t − a′t−1 Θ′1 )]
= E(at−k a′t ) − E(at−k a′t−1 )Θ′1 − Θ1 E(at−k−1 a′t ) + Θ1 E(at−k−1 a′t−1 )Θ′1
⎧ Σ + Θ1 ΣΘ1
′
,k = 0

−ΣΘ′1 ,k = 1
=⎨
−Θ1 Σ , k = −1

⎩
0 , ∣k∣ > 1

📌 Variance-Covariance Matrix Function :

∴ Γ(0) = Σ + Θ1 ΣΘ′1

Multivariate Time Series 5

 ∴ vec(Γ(0)) = vec(Σ) + (Θ1 ⊗ Θ1 )vec(Σ)
= [I − (Θ1 ⊗ Θ1 )]vec(Σ)

🔰 VMA(2)
Zt = at − Θ1 at−1 − Θ2 at−2

∴ Zt = [I − Θ1 B − Θ2 B2 ]at

📌 Stationarity and Invertibility Condition :

The VAR(2) is always stationary

The invertible Condition is

the all eigenvalues of ∣λI − Θ1 − λ−1 Θ2 ∣ = 0 lie inside the unit circle.

∣λi ∣ < 1

📌 Covariance Matrix Function :

∴ Γ(k) = E(Zt−k Zt′ )
= E[(at−k − Θ1 at−k−1 − Θ2 at−k−2 )(at − Θ1 at−1 − Θ2 at−2 )′ ]
= E[(at−k − Θ1 at−k−1 − Θ2 at−k−2 )(a′t − a′t−1 Θ′1 − a′t−2 Θ′2 )]
E(at−k a′t ) − E(at−k a′t−1 )Θ′1 − E(at−k at−2 )Θ′2
′ ′ ′ ′ ′
= − Θ1 E(at−k−1 at ) + Θ1 E(at−k−1 at−1 )Θ1 + Θ1 E(at−k−1 at−2 )Θ2
− Θ2 E(at−k−2 at ) + Θ2 E(at−k−2 at−1 )Θ1 + Θ2 E(at−k−2 at−2 )Θ′2
′ ′ ′ ′

⎧Σ + Θ1 ΣΘ′1 + Θ2 ΣΘ′2 k=0

−ΣΘ′1 + Θ1 ΣΘ′2 k=1

−Θ1 Σ + Θ2 ΣΘ′1 k = −1
=⎨
−ΣΘ′2 k=2

−Θ2 Σ k = −2

⎩
0 ∣k∣ > 2

📌 Variance-Covariance Matrix Function :

∴ Γ(0) = Σ + Θ1 ΣΘ′1 + Θ2 ΣΘ′2

∴ vec(Γ(0)) = vec(Σ) + (Θ1 ⊗ Θ1 )vec(Σ) + (Θ2 ⊗ Θ2 )vec(Σ)

= [I + (Θ1 ⊗ Θ1 ) + (Θ2 ⊗ Θ2 )]vec(Σ)

🔰 VARMA(1,1)
📌 Model
Multivariate Time Series 6
 Zt = Φ1 Zt−1 + at − Θ1 at−1

∴ (I − Φ1 B)Zt = (I − Θ1 B)at

📌 Stationarity and Invertibility Condition :

The condition of stationarity is

The all eigenvalues of ∣λI − Φ1 ∣ = 0 lie inside the unit circle

The condition of Invertibility is

The all eigenvalues of ∣λI − Θ1 ∣ = 0 lie inside the unit circle

📌 Covariance Matrix Function :

∴ Γ(k) = E(Zt−k Zt′ )
= E[Zt−k (Φ1 Zt−1 + at − Θ1 at−1 )′ ]
′
= E[Zt−k (Zt−1 Φ′1 + a′t − a′t−1 Θ′1 )]
′
= E(Zt−k Zt−1 )Φ′1 + E(Zt−k a′t ) − E(Zt−k a′t−1 )Θ′1

∴ E(Zt−k a′t−1 ) = E[(Φ1 Zt−k−1 + at−k − Θ1 at−k−1 )a′t−1 ]

= Φ1 E(Zt−k−1 a′t−1 ) + E(at−k a′t−1 ) − Θ1 E(at−k−1 a′t−1 )

⎧ Φ1 Σ − Θ1 Σ = (Φ1 − Θ1 )Σ k=0

= ⎨Σ k=1

⎩0 k>1

⎧Γ(−1)Φ′1 + Σ − (Φ1 − Θ1 )ΣΘ′1 ,k = 0

∴ Γ(k) = ⎨Γ(0)Φ′1 − ΣΘ′1 ,k = 1

⎩
Γ(k − 1)Φ′1 ,k ≥ 2

⎧Γ(0) − Γ′ (1)Φ′1 = Σ − (Φ1 − Θ1 )ΣΘ′1 ,k = 0

∴⎨
⎩
Γ(1) − Γ(0)Φ′1 = −ΣΘ′1 ,k = 1

📌 Variance-Covariance Matrix Function :

∵ Γ(1) = Γ(0)Φ′1 − ΣΘ′1

∴ Γ′ (1) = Φ1 Γ(0) − Θ1 Σ

Multivariate Time Series 7

 ∴ Γ(0) − (Φ1 Γ(0) − Θ1 Σ)Φ′1 = Σ − (Φ1 − Θ1 )ΣΘ′1
= Γ(0) − Φ1 Γ(0)Φ′1 + Θ1 ΣΦ′1 = Σ − (Φ1 − Θ1 )ΣΘ′1
= Γ(0) − Φ1 Γ(0)Φ′1 = Σ − (Φ1 − Θ1 )ΣΘ′1 − Θ1 ΣΦ′1
= Γ(0) − Φ1 Γ(0)Φ′1 = Σ − Φ1 ΣΘ′1 + Θ1 ΣΘ′1 − Θ1 ΣΦ′1
= Γ(0) − Φ1 Γ(0)Φ′1 = Σ + Φ1 ΣΦ′1 − Φ1 ΣΘ′1 + Θ1 ΣΘ′1 − Θ1 ΣΦ′1 − Φ1 ΣΦ′1
= Γ(0) − Φ1 Γ(0)Φ′1 = Σ + Φ1 Σ(Φ′1 − Θ′1 ) − Θ1 Σ(Φ′1 − Θ′1 ) − Φ1 ΣΦ′1
= Γ(0) − Φ1 Γ(0)Φ′1 = Σ + (Φ1 Σ − Θ1 Σ)(Φ′1 − Θ′1 ) − Φ1 ΣΦ′1
= Γ(0) − Φ1 Γ(0)Φ′1 = Σ + (Φ1 − Θ1 )Σ(Φ′1 − Θ′1 ) − Φ1 ΣΦ′1
= Γ(0) = Φ1 Γ(0)Φ′1 + Σ + (Φ1 − Θ1 )Σ(Φ1 − Θ1 )′ − Φ1 ΣΦ′1

∴ vec(Γ(0)) − (Φ1 ⊗ Φ1 )vec(Γ(0)) = vec(Σ) + [(Φ1 − Θ1 ) ⊗ (Φ1 − Θ1 )]vec(Σ) − (Φ1 ⊗ Φ1 )vec(Σ)

[I − (Φ1 ⊗ Φ1 )]vec(Γ(0)) = [I + [(Φ1 − Θ1 ) ⊗ (Φ1 − Θ1 )] − (Φ1 ⊗ Φ1 )]vec(Σ)
vec(Γ(0)) = [I + [(Φ1 − Θ1 ) ⊗ (Φ1 − Θ1 )] − (Φ1 ⊗ Φ1 )]vec(Σ)[I − (Φ1 ⊗ Φ1 )]−1

Multivariate Time Series 8