I know how auto-correlation for a univariate time series and how to plot ACF and how to interpret it

But what is the multivariate equivalent form of it?

  • $\begingroup$ Cross correlation? R function ccf. $\endgroup$ Commented Apr 10, 2018 at 5:20
  • $\begingroup$ Not the cross correlation, but rather how much X_{t} and X_{t-h} are correlated if X_{t} is a vector. $\endgroup$
    – Mike Chen
    Commented Apr 10, 2018 at 12:59
  • $\begingroup$ Right, cross-correlation is just bivariate... $\endgroup$ Commented Apr 10, 2018 at 13:40
  • $\begingroup$ Possible duplicate: Covariance and correlation in multivariate random variables. $\endgroup$ Commented Apr 11, 2018 at 15:58


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