Derivations and proofs for Chapter 2

As of 26.4.2017 just the one derivation is provided, and that is of the formula 2.61 given in the book for the inverse covariance matrix of a VAR(p) model. This is provided here in the file InverseCovarianceFormula .

The Algortihms/Technical pages also include some documents which contain material related to derivations of methods used in the software.