TSA-Prewhiten-Algorithm
First fit an ARIMA model for the 1st time series (X series). NAG function nag_tsa_multi_inp_model_estim (g13bec) is used to fit an ARIMA model. For more details, refer to Algorithm of ARIMA. The residuals of X series is prewhtened X series.
From a given 2nd series (), a new series is calculated using a supplied (filtering) ARIMA model. The appropriate differencing of
both the seasonal and non-seasonal inverted autoregressive operations are then applied,
followed by the inverted moving average operations,