Vector Autoregression Algorithm

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A Vector Autoregression Algorithm is an autoregression algorithm ... that can be applied by a vector autoregression system to solve a vector autoregression task.



References

2016

  • (Wikipedia, 2016) ⇒ https://en.wikipedia.org/wiki/vector_autoregression Retrieved:2016-8-14.
    • Vector autoregression (VAR) is an econometric model used to capture the linear interdependencies among multiple time series. VAR models generalize the univariate autoregressive model (AR model) by allowing for more than one evolving variable. All variables in a VAR enter the model in the same way: each variable has an equation explaining its evolution based on its own lags and the lags of the other model variables. VAR modeling does not require as much knowledge about the forces influencing a variable as do structural models with simultaneous equations: The only prior knowledge required is a list of variables which can be hypothesized to affect each other intertemporally.