4.4 向量自回归模型(Vector Autoregression) 以上三个章节我们讨论的都是单变量问题,现实世界往往更为复杂,这时我们将把AR模型从单变量拓展到多变量,多变量模型的特点是存在几组并行的时间序列,并且这些时间之间互相影响。 本章讨论的模型就叫做向量自回归模型(VAR),考虑一个三组并行时间序列数据的场景,在二阶的条件...
python jupyter-notebook statsmodels multivariate-timeseries econometric-analysis vector-autoregression-models Updated Jul 2, 2021 Jupyter Notebook xxl4tomxu98 / econometrics-gdp-dpi-VAR Star 9 Code Issues Pull requests Multivariate time series Vector Autoregression Model (VAR) on real world GDP ...
Updated Dec 23, 2021 Python AdamJamesSheppard / Echo-State-Networks-Nonlinear-Vector-Autoregression-and-Data-Assimilation-for-Chaotic-Systems Star 2 Code Issues Pull requests Stochastic Processes Comparison of Accuracy: Data Assimilation, Echo State Machines and Nonlinear Vector Autoregressive Learning ...
timeseries time-series interactive impulse-response econometrics interactive-visualization interactive-visualizations time-series-analysis granger-causality time-series-econometrics timeseries-analysis vector-autoregression multivariate-timeseries vector-autoregressive var-model vector-autoregressions Updated Jul 25, 20...
LARS-WG is a well-known statistical downscaling model often used in climate prediction by constructing a climate change prediction model based on the vector autoregression (VAR) model and considering the impact of historical meteorological data on future climate for downscaling GCM outputs, such as ...