Vector autoregression (VAR) is a statistical model used to capture the relationship between multiple quantities as they change over time. VAR is a type...
21 KB (3,496 words) - 19:54, 16 August 2024
statistics and econometrics, Bayesian vector autoregression (BVAR) uses Bayesian methods to estimate a vector autoregression (VAR) model. BVAR differs with standard...
6 KB (567 words) - 00:21, 29 March 2024
Autoregressive model (redirect from Autoregression)
model is a special case of the vector autoregressive model, the computation of the impulse response in vector autoregression#impulse response applies here...
35 KB (5,416 words) - 17:26, 7 July 2024
a vector space as a codomain Vectorization (mathematics), a linear transformation that converts a matrix into a column vector Vector autoregression, an...
10 KB (2,682 words) - 04:46, 8 September 2024
Multivariate normal distribution (redirect from Normal random vector)
normal distribution to higher dimensions. One definition is that a random vector is said to be k-variate normally distributed if every linear combination...
65 KB (9,519 words) - 19:30, 12 August 2024
expectations. A similar test involving more variables can be applied with vector autoregression. The validity of the Granger causality test has been challenged...
26 KB (3,372 words) - 01:36, 13 June 2024
Multivariate random variable (redirect from Random vector)
The evolution of a k×1 random vector X {\displaystyle \mathbf {X} } through time can be modelled as a vector autoregression (VAR) as follows: X t = c +...
21 KB (3,426 words) - 01:02, 31 July 2024
stationary stochastic process in terms of two polynomials, one for the autoregression (AR) and the second for the moving average (MA). The general ARMA model...
20 KB (2,769 words) - 07:42, 24 May 2024
mean and the covariance matrix of the random vector X {\displaystyle \textstyle \mathbf {X} } , a vector whose jth element ( j = 1 , … , K ) {\displaystyle...
29 KB (4,739 words) - 12:24, 22 July 2024
is a vector norm: C = ‖ V − 1 m ‖ = ( m T V − 1 V − 1 m ) 1 / 2 {\displaystyle C=\|V^{-1}m\|=(m^{\mathsf {T}}V^{-1}V^{-1}m)^{1/2}} and the vector m, m...
7 KB (874 words) - 06:11, 12 April 2024