An example case: We have many observations of engine sensor time series from scenarios where a vehicle goes from idle (t0) to performing a fixed set of manoeuvres. We wish to fit a time series model for the sensor data, including some exogenous regressors.
Can anyone recommend a framework for this analysis? I've searched high and wide but am frustrated by terminology collisions with time series regressors (dynamic models) and anaylsis of repeated measures.
Bonus if recommended framework has an R package.