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Time Series Analysis in Python with statsmodels - SciPy

Time Series Analysis in Python with statsmodels - SciPy

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Vector Autoregression (VAR) models Widely used model for modeling multiple (K-variate) time series, especially in macroeconomics: Y t = A 1Y t 1 + :::+ A pY t p + t; t ˘N(0;) Matrices A i are K K. Y t must be a stationary process (sometimes achieved by di erencing). Related class of models (VECM) for modeling nonstationary (including ...

  Series, Python, Model, Time, Time series, Vector

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