Data sets used for illustrative examples in the book
There are 11 data sets of multivariate times series used in the book which are made available. We list here the names that we use for these series, which link with a description of each series and their source, and a download link for the text file(s) holding their values.
In each file the series values are in space separated columns. There is no textual information in a file, which allows it to be conveniently read by most software. The description explains which series is in each column.