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15
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Vector-Autoregression: Assertion on the convergence radius of a power series with square-matrices as coefficients

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#power-series #time-series #absolute-convergence #vector-auto-regression
21
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Solve VAR(2) for the n-step ahead forecast

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#recurrence-relations #matrix-equations #recursion #time-series #vector-auto-regression
17
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Non-negative autoregressive model

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#least-squares #time-series #vector-auto-regression
34
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Least squares regression with stable and non-negative constraint

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#optimization #convex-optimization #numerical-optimization #vector-auto-regression
8
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What formula should I use for 1D autocorrelation?

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#correlation #vector-auto-regression
339
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How to generate power spectra of AR-1 process in matlab?

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#matlab #time-series #vector-auto-regression
435
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Finding the ACF of a VAR(1) model

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#probability #statistics #time-series #vector-auto-regression
103
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Partial derivative of matrix-vector product: Least Square

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#partial-derivative #matrix-calculus #least-squares #vector-auto-regression
47
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Spillover and covariance effects in spatial statistics

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#statistics #covariance #vector-auto-regression
80
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Wold's decomposition and Gaussian distribution in infinite dimensional Hilbert space

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#hilbert-spaces #normal-distribution #vector-auto-regression
47
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Two correlated AR(1) series

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#statistics #correlation #time-series #vector-auto-regression
38
Views

What's the point on using logarithms before differencing a time series in ARIMA?

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#logarithms #machine-learning #time-series #vector-auto-regression
28
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Generating synthetic multivariate time series with stable VAR model

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#eigenvalues-eigenvectors #time-series #companion-matrices #vector-auto-regression
100
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Questions on coin tossing and AR(1), martingale & Markov chain

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#probability #markov-chains #martingales #vector-auto-regression
99
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Is there such a thing as a geometric series of a non-constant?

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#time-series #geometric-series #vector-auto-regression

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