I searched for some web based papers and books, and read about cross-correlation for time series analysis. But I am trying to model a Multi-time series model. Do anyone know how can I do this?
I am not sure if this is of help, but to create an Auto Regressive model from a set of Time series, you can use the methods proposed by Gohberg in his book "Matrix Polynomials". Otherwise, feel free to take a look at the following conference papers, which include methods for consructing AR models that satisfy a given set of time series (i.e. discrete time functions).
Conference Paper On the Modeling of Discrete Time Auto-Regressive Representations
Conference Paper Modeling of Discrete Time Auto-Regressive Systems with given...