“…Inferring changes in the spectral content of each component, as well as time‐varying relationships across components, is often relevant in applied areas. For example, understanding the interplay across temporal components derived from multi‐channel/multi‐location brain signals and brain imaging data is a key feature in brain connectivity studies (e.g., Astolfi et al, ; Milde et al, ; Cheung et al, ; Omidvarnia et al, ; Schmidt et al, ; Yu et al, ; Chiang et al, ; Ting et al, , among others). Multivariate time series analysis is also important for filtering, smoothing, and prediction in environmental studies and finance where many variables are simultaneously measured over time (e.g., Tsay, ; Zhang, ).…”