Summary
In this chapter, we provided an overview of multivariate time-series and how they differ from the univariate case. We then covered the math and intuition behind two popular approaches to solving problems using multivariate time-series models—ARIMAX and the VAR model framework. We walked through examples for each model using a step-by-step approach. This chapter concludes our discussions on time-series analysis and forecasting. At this point, you should be able to identify and assess the statistical properties of time series, transform them as needed, and construct models that are useful for fitting and forecasting both univariate and multivariate cases.
In the next chapter, we will begin our discussion on survival analysis with an introduction to time-to-event (TTE) variables.
