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Vector Autoregressive Models for Multivariate Time Series

Vector Autoregressive Models for Multivariate Time Series

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tain assumptions about the causal structure of the data under investiga-tion are imposed, and the resulting causal impacts of unexpected shocks or ... 0 is the residual covariance matrix without a de-grees of freedom correction from a VAR(p)model,cTis a sequence indexed bythesamplesizeT,andϕ(n,p) is a penalty function which penalizes

  Structure, Covariance

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