Vector autoregression (VAR) is a statistical model used to capture the relationship between multiple quantities as they change over time. VAR is a type...
22 KB (3,542 words) - 14:02, 25 May 2025
statistics and econometrics, Bayesian vector autoregression (BVAR) uses Bayesian methods to estimate a vector autoregression (VAR) model. BVAR differs with standard...
9 KB (1,046 words) - 21:38, 13 February 2025
a vector space as a codomain Vectorization (mathematics), a linear transformation that converts a matrix into a column vector Vector autoregression, an...
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Principal component analysis (redirect from Characteristic vector analysis)
space are a sequence of p {\displaystyle p} unit vectors, where the i {\displaystyle i} -th vector is the direction of a line that best fits the data...
117 KB (14,851 words) - 03:05, 30 June 2025
average model (ARIMA). With multiple interrelated data series, vector autoregression (VAR) or its extensions are used. In ordinary least squares (OLS)...
40 KB (5,833 words) - 00:42, 20 June 2025
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...
34 KB (5,421 words) - 18:42, 7 July 2025
the standard deviation of the vector (x1, x2, x3), multiplied by the square root of the number of dimensions of the vector (3 in this case). An observation...
59 KB (8,282 words) - 03:16, 8 July 2025
equation, with different dependent variables, estimated together. Vector autoregression involves simultaneous regressions of various time series variables...
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decomposition (FEVD) is used to aid in the interpretation of a vector autoregression (VAR) model once it has been fitted. The variance decomposition...
3 KB (662 words) - 23:39, 19 March 2025
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 (9,594 words) - 15:19, 3 May 2025
acronyms are extended by including an initial "V" for "vector", as in VAR for vector autoregression. An additional set of extensions of these models is available...
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expectations. A similar test involving more variables can be applied with vector autoregression. The validity of the Granger causality test has been challenged...
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usually call shocks, and are often modeled in the context of a vector autoregression. Impulses that are often treated as exogenous from a macroeconomic...
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assumes that the relationship between the dependent variable y and the vector of regressors x is linear. This relationship is modeled through a disturbance...
76 KB (10,482 words) - 04:54, 7 July 2025
{\displaystyle (a_{1},\dots ,a_{n})={m^{\mathsf {T}}V^{-1} \over C},} where C is a vector norm: C = ‖ V − 1 m ‖ = ( m T V − 1 V − 1 m ) 1 / 2 {\displaystyle...
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Bayesian statistics Bayesian tool for methylation analysis Bayesian vector autoregression BCMP network – queueing theory Bean machine Behrens–Fisher distribution...
87 KB (8,280 words) - 23:04, 12 March 2025
can be expressed with a weight vector w. To calculate the correlation between vectors x and y with the weight vector w (all of length n), Weighted mean:...
58 KB (8,398 words) - 00:35, 24 June 2025
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 (3,442 words) - 21:52, 18 February 2025
Mean (redirect from Mean vector)
(Box–Jenkins) Autoregressive conditional heteroskedasticity (ARCH) Vector autoregression (VAR) Frequency domain Spectral density estimation Fourier analysis...
17 KB (2,242 words) - 20:36, 6 July 2025
Statistical classification (section Feature vectors)
score to each possible category k by combining the feature vector of an instance with a vector of weights, using a dot product. The predicted category is...
13 KB (1,940 words) - 17:53, 15 July 2024
descriptions as a fallback Bayesian vector autoregression – use of Bayesian methods to estimate a vector autoregression modelPages displaying wikidata descriptions...
6 KB (965 words) - 14:43, 23 August 2024
Variance (section For vector-valued random variables)
column vector of n {\displaystyle n} random variables X 1 , … , X n {\displaystyle X_{1},\ldots ,X_{n}} , and c {\displaystyle c} as a column vector of n...
61 KB (10,215 words) - 16:29, 24 May 2025
(Box–Jenkins) Autoregressive conditional heteroskedasticity (ARCH) Vector autoregression (VAR) Frequency domain Spectral density estimation Fourier analysis...
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classification are: Decision trees Random forests Bayesian networks Support vector machines Neural networks Logistic regression Probit model Genetic Programming...
12 KB (1,428 words) - 02:52, 25 May 2025
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 (4,754 words) - 01:56, 4 May 2025
data set X, thought of as a vector x = (x1,…,xn), the dispersion about a point c is the "distance" from x to the constant vector c = (c,…,c) in the p-norm...
13 KB (1,720 words) - 09:30, 21 May 2025
(Box–Jenkins) Autoregressive conditional heteroskedasticity (ARCH) Vector autoregression (VAR) Frequency domain Spectral density estimation Fourier analysis...
31 KB (4,000 words) - 19:33, 20 June 2025
(Box–Jenkins) Autoregressive conditional heteroskedasticity (ARCH) Vector autoregression (VAR) Frequency domain Spectral density estimation Fourier analysis...
7 KB (811 words) - 20:27, 20 June 2025
(Box–Jenkins) Autoregressive conditional heteroskedasticity (ARCH) Vector autoregression (VAR) Frequency domain Spectral density estimation Fourier analysis...
22 KB (2,432 words) - 16:59, 17 March 2025
is an iteration number, and the vector of increments Δ β j {\displaystyle \Delta \beta _{j}} is called the shift vector. In some commonly used algorithms...
36 KB (5,243 words) - 23:15, 19 June 2025