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You have discovered the VAR model in the previous chapter. And just like in univariate time series, there are some building blocks that can be built upon the VAR model to account for different types of processes. This can build up from the smaller and more common VAR to the more complex VARMAX.

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The VARMAX Model

  • 章节

  • 发表日期：

    2025年

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  • Joos Korstanje

摘要

You have discovered the VAR model in the previous chapter. And just like in univariate time series, there are some building blocks that can be built upon the VAR model to account for different types of processes. This can build up from the smaller and more common VAR to the more complex VARMAX.