Elements of multivariate time series analysis. (Q5906771)

For the review of the first edition from 1993 of this book see Zbl 0783.62072. This new edition has in general the same level and structure, with several changes and revisions. Some additional topics have been added, in particular the following: (1) There is a new chapter on the so-called ARMAX models (linear models with exogeneous variables); (2) State-space forms of the ARMA model are included at an earlier stage; (3) There is a new appendix on the relationship between the AR and MA parameter coefficient matrices and the corresponding covariance matrices of a vector ARMA process; (4) There is a new section on the information criterion AIC; (5) There is a new section on a canonical analysis for vector AR processes. Some additional multivariate data sets are included, and also a small number of additional exercises. An author index has been added. The total length of the book increased from 263 to 357 pages, and the references went from 9 to 13 pages.