Vector autoregression (VAR) is a statistical model used to capture the relationship between multiple quantities as they change over time. VAR is a type...
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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) - 00:45, 18 July 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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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...
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average model (ARIMA). With multiple interrelated data series, vector autoregression (VAR) or its extensions are used. In ordinary least squares (OLS)...
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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) - 14:54, 21 July 2025
equation, with different dependent variables, estimated together. Vector autoregression involves simultaneous regressions of various time series variables...
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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 (5,409 words) - 21:53, 16 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 (8,278 words) - 02:30, 10 July 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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decomposition (FEVD) is used to aid in the interpretation of a vector autoregression (VAR) model once it has been fitted. The variance decomposition...
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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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Mean (redirect from Mean vector)
(Box–Jenkins) Autoregressive conditional heteroskedasticity (ARCH) Vector autoregression (VAR) Frequency domain Spectral density estimation Fourier analysis...
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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:...
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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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Among other things, he was one of the main promoters of the use of vector autoregression in empirical macroeconomics. However, some of the maintained assumptions...
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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
assumes that the relationship between the dependent variable y and the vector of regressors x is linear. This relationship is modeled through a disturbance...
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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 +...
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(Box–Jenkins) Autoregressive conditional heteroskedasticity (ARCH) Vector autoregression (VAR) Frequency domain Spectral density estimation Fourier analysis...
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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
additional interaction term in the vector v k {\displaystyle v_{k}} and then add an intercept term. Let that vector be X k {\displaystyle X_{k}} . With...
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{\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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(Box–Jenkins) Autoregressive conditional heteroskedasticity (ARCH) Vector autoregression (VAR) Frequency domain Spectral density estimation Fourier analysis...
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any random variable assuming values from a vector space, including the real numbers (a one-dimensional vector space) and the integers (which can be considered...
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(Box–Jenkins) Autoregressive conditional heteroskedasticity (ARCH) Vector autoregression (VAR) Frequency domain Spectral density estimation Fourier analysis...
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a taxonomic rank Value at risk (VaR), in economics and finance Vector autoregression (VAR), an econometric method of analysis Visual Aural Radio Range...
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in the form of autoregressive (AR) models and in models such as vector autoregression (VAR) and autoregressive moving average (ARMA) models that combine...
25 KB (4,667 words) - 13:18, 19 October 2024
(Box–Jenkins) Autoregressive conditional heteroskedasticity (ARCH) Vector autoregression (VAR) Frequency domain Spectral density estimation Fourier analysis...
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of causality known as Granger causality can be tested for, and vector autoregression can be performed to examine the intertemporal linkages between the...
8 KB (946 words) - 06:19, 12 January 2025