1. A method of determining dynamic characteristics of data, the data being causal and having translation-invariant statistics with respect to a variable, which method comprises the steps of: receiving signals representing the data, the signals originating from a set of components, the set of components having dynamic relationships with each other; calculating a set of multi-linear autoregressive coefficients of the data, the multi-linear autoregressive coefficients yielding an array of square matrices, each square matrix reflecting the dynamic relationships among the components for a certain value of the variable; storing the array of square matrices in a memory; transforming each square matrix to a substantially canonical form corresponding to a selected canonical form suitable for analyzing the dynamic relationships, yielding a set of canonical form matrices representing a transformation of the components; analyzing the selected canonical form and transformed components to determine the dynamic characteristics of the data with respect to the variable; and means for outputting the transformation of the components.