Glossary

Vector Autoregressive Models

Vector Autoregressive Models:

Vector autoregressive models describe statistical properties of vector time series . Vector autoregressive models generalize the models used in ordinary autoregression .

Consider a vector time series :

V(1), V(2), …

In general, vector autoregressive models assume the some functional relation between the current value V(i) and N previous values:

V(i) = F(V(i–1), V(i–2), …, V(i–N)) + n(i),

where F() is a vector function of N vector arguments, n(i) is a vector of additive noise. The integer N here is called the order of the autoregressive model.

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