A Model of Vector Autoregression
Автор: Wolfram Demonstrations Project
Загружено: 2014-03-17
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Vector autoregression (VAR) generalizes univariate autoregression (AR). A VAR process of order p can be formulated as y_t=?_1y_t-1+?_2y_t-2+?+?_py_t-p+?_t, where y_t=(y_1?t,?,y_m?t)? is an mx1 random vector, ?_i are fixed mxm coefficient matrices, and ?...
Contributed by: Matus Baniar
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