<p>Compute the mean square error between $X_t$ and $Y_t$, as $$\frac{1}{n} \sum_{k=1}^n \|X_k-Y_k\|^2,$$
where $\|\cdot\|$ denotes a Euclidian norm and $n$ is the number of observations.</p>

Methods for the analysis of multivariate time series using frequency domain techniques. Implementations of dynamic principle components analysis (DPCA) and estimators of operators in lagged regression. Examples of usage in functional data analysis setup.

Kidzinski L

MSE: Compute a mean square error between X and Y

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