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Multivariate Time Series
Multivariate Time Series
E(at at−k ) = {
σ2 ,k = 0
0 k>0
⎡ E(Z1,t ) ⎤ ⎡ μ1 ⎤
E(Z2,t μ2
∴ E(Zt ) = = =μ
⋮ ⋮
⎣E(Zm,t )⎦ ⎣μm ⎦
(Z2,t − μ)
=E [(Z1,t+k − μ) (Z2,t+k − μ) ⋯ (Zm,t+k − μ)]
⋮
⎣(Zm,t − μ)⎦
⎣γ … ⋱ γmm(k) ⎦
⋮ ⋮ ⋱ ⋮
m1(k) …
⎡γ11 (0) 0 ⎤
∵D=
⎣ 0 γ22 (0)⎦
⎡ ⎤
1
0
γ11 (0)
∴ D−1/2 =
⎣ 0 1
⎦
γ22 (0)
∴ D−1/2 Γ(k)D−1/2 =
⎣ 0 1
⎦ ⎣γ21 (k) γ22 (k)⎦ ⎣ 0 1
⎦
γ22 (0) γ22 (0)
Keys
′
Γ(k) = E(Zt Zt+k ) = E(Zt−k Zt′ )
Γ(k) = Γ′ (−k)
🔰VAR(1)
Model :
Zt = Φ1 Zt−1 + at
∴ Zt − Φ1 Zt−1 = at
= (I − Φ1 B)Zt = at
∣λi ∣ < 1
⎧ Γ(−1)Φ′1 + Σ ,k = 0
=⎨
⎩
Γ(k − 1)Φ′1 = Γ(0)(Φ1 )k ,k ≥ 1
= Φ1 = Γ′ (1)Γ−1 (0)
∴ 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
VAR(2)
Model :
Zt = Φ1 Zt−1 + Φ2 Zt−2 + at
∴ (I − Φ1 B − Φ2 B)Zt = at
the all eigenvalues of ∣λI − Φ1 − λ−1 Φ2 ∣ = 0 lie inside the unit circle.
∣λi ∣ < 1
⎧ 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 :
∴ 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 )Φ2 + Φ2 E(Zt−2 at ) + E(at Zt−1 )Φ1 + E(at Zt−2 )Φ2 + E(at a′t )
′ ′ ′ ′ ′ ′ ′
VMA(1)
Model
Zt = at − Θ1 at−1
∴ Zt = (I − Θ1 B)at
∣λi ∣ < 1
−ΣΘ′1 ,k = 1
=⎨
−Θ1 Σ , k = −1
⎩
0 , ∣k∣ > 1
VMA(2)
Zt = at − Θ1 at−1 − Θ2 at−2
∴ Zt = [I − Θ1 B − Θ2 B2 ]at
the all eigenvalues of ∣λI − Θ1 − λ−1 Θ2 ∣ = 0 lie inside the unit circle.
∣λi ∣ < 1
−Θ1 Σ + Θ2 ΣΘ′1 k = −1
=⎨
−ΣΘ′2 k=2
−Θ2 Σ k = −2
⎩
0 ∣k∣ > 2
VARMA(1,1)
Model
Zt = Φ1 Zt−1 + at − Θ1 at−1
∴ (I − Φ1 B)Zt = (I − Θ1 B)at
⎧ Φ1 Σ − Θ1 Σ = (Φ1 − Θ1 )Σ k=0
= ⎨Σ k=1
⎩0 k>1
⎩Γ(k − 1)Φ′ ,k ≥ 2
1
∴ Γ′ (1) = Φ1 Γ(0) − Θ1 Σ