Application of the Multivariate Prediction Method to Time Series

* This work was financially supported by RFBR-04-01-00858.

An approach to solving the problem of heterogeneous multivariate time series analysis with respect to the sample size is considered in this paper. The criterion of prediction multivariate heterogeneous variable is used in this approach. For the fixed complexities of probability distribution and logical decision function class the properties of this criterion are presented.