# Package dev.nm.stat.timeseries.linear.multivariate

• Class Summary
Class Description
MultivariateAutoCorrelationFunction
This is the auto-correlation function of a multi-dimensional time series {Xt}.
MultivariateAutoCovarianceFunction
This is the auto-covariance function of a multi-dimensional time series {Xt}, $K(i, j) = E((X_i - \mu_i) \times (X_j - \mu_j)')$ For a stationary process, the auto-covariance depends only on the lag, |i - j|.