Vector Autoregression (VAR): Sampling Properties and Examples

In course

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Description

This lecture covers the concept of Vector Autoregression (VAR) in time series analysis. It explains the generating mechanism of VAR, sampling properties, and provides examples of VAR processes. The lecture also discusses the stability of VAR models and the Yule-Walker equations for VAR(p) models.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_f2vq1k3r

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Ontological neighbourhood

Statistics

Data analysis: Time series

Statistical inference: Mathematical statistics

Mathematics

Algebra: Linear algebra

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