Multivariate Time Series Analysis and Applications

Preface

My main research area is time series analysis and forecasting. I have written a book, Time Series Analysis – Univariate and Multivariate Methods. Since the first edition was published in 1990 and the second edition in 2006, the book has been used by many researchers and universities worldwide, and I have received many encouraging letters and emails from researchers, instructors, and students about the usefulness of the book in their research and studies. It has been translated into several languages including Chinese, Spanish, and Portuguese. With the development of computers and the internet, we have had a data explosion, and many new theories and methods have been developed in high‐dimensional time series analysis. Many publishers have contacted me asking for a new edition. Because of the development of so much new material, it would be impractical to include it all in a new edition of the book. Therefore, I decided to write a new book and call it Multivariate Time Series Analysis and Applications. Due to the enthusiasm of multiple publishing editors, I had a difficult time deciding which publisher to choose. After consulting with Dr. Sarkar, our department chair, I decided to choose Wiley. After four stages of rigorous reviews, the Wiley directors unanimously approved the publication of this book.

Many research studies involve multivariate time series. For example, a study of monthly cancer rates in the United States during the past 10 years can involve 50, many ...