• 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
  • 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 (2,690 words) - 06:16, 19 September 2024
  • Thumbnail for Multivariate normal distribution
    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
  • Thumbnail for Multivariate random variable
    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
  • Thumbnail for Granger causality
    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
  • 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