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What is the Vector Autoregressive (VAR) Model

  Рет қаралды 37,397

Aric LaBarr

Aric LaBarr

Күн бұрын

Пікірлер: 25
@EconJohnTutor
@EconJohnTutor 2 жыл бұрын
This has to be the most entertaining overview of vector autoregression ive seen. Amazing!!
@mudassarm30
@mudassarm30 Жыл бұрын
I wish you do video lectures on ANY topic ... great non-monotonous voice that never lets me sleep :) I get general ideas very well from your videos.
@jingzhao9802
@jingzhao9802 2 жыл бұрын
"Right?" "Don't answer that", brings me back all the memory at IAA!!
@statistics5371
@statistics5371 2 жыл бұрын
Wow in only 5 minutes! that deserves a huge like !!!
@beelzebub2808
@beelzebub2808 Жыл бұрын
The VARMA(p,q) formula at 3:40 seems wrong. Shouldn't the coefficient matrices A and B be different for each lag? So A(i), B(j) instead of A1, B1?
@AricLaBarr
@AricLaBarr Жыл бұрын
Great catch! I knew that copy and paste would come back to bite me eventually :-)
@NoamBenZeev
@NoamBenZeev 11 ай бұрын
Thank you. Super useful
@azimuth4850
@azimuth4850 2 жыл бұрын
Love your videos!!!
@sasik1472
@sasik1472 2 ай бұрын
Sooo good. Thanks a lot!
@AricLaBarr
@AricLaBarr Ай бұрын
Thanks for watching!
@stanleynwanekezie5355
@stanleynwanekezie5355 Жыл бұрын
Hey there. Thanks for your explanation. I am not clear on how you came about 320 parameters for AR(12). I counted 300 coefficients (60 for each eqn) and 5 constants.
@AricLaBarr
@AricLaBarr Жыл бұрын
Sure thing! The extra 15 parameters come from the correlation that gets estimated between each of the series in the multivariate sense as well. The errors have a multivariate gaussian distribution with a needed covariance matrix that needs estimating. That 5x5 matrix is symmetric so it only needs 15 terms to estimate. Hope this helps!
@Francesco-xt6vm
@Francesco-xt6vm Жыл бұрын
Very interesting, thanks for this video. I have just one question, about how you explain at the end of the video, why a VAR model have more parameters to estimate compared to a VARM model, in case of multivariate analysis? VARM model need to estimate autoregressive and moving average parameters, VAR only autoregressive. From the example you have done in the video is not so clear, could you explain please?
@AricLaBarr
@AricLaBarr Жыл бұрын
Sure! It all has to deal with the moving average. With just AR pieces in the model, you can use least squares estimation to estimate things. However, to pull off the moving average pieces you need to estimate with iterative maximum likelihood (think iteratively estimation where we add a new observation into the training data one at a time to estimate the model). To do that iterative MLE you need partial derivatives on the multivariate scale. This is just a LOT of partial derivatives which makes things harder (taking much longer) than least squares.
@bellayao2883
@bellayao2883 2 жыл бұрын
Could you please post a video about SVAR model? Thanks!!!
@AricLaBarr
@AricLaBarr 2 жыл бұрын
Thanks for your interest! Maybe in the future. For now, the next series is underway with anomaly detection. For seasonal VAR though, you just extend the VAR model much like the seasonal ARIMA model video.
@RinoLovreglio
@RinoLovreglio 2 жыл бұрын
Looking forward to the Baysian part :)
@TÔMTIÊNYÊN
@TÔMTIÊNYÊN Жыл бұрын
thank you, hope more video about these topics, do you have AR and MA model ?
@TÔMTIÊNYÊN
@TÔMTIÊNYÊN Жыл бұрын
** video of AR and MA
@AricLaBarr
@AricLaBarr Жыл бұрын
I do! Here are the links: kzbin.info/www/bejne/g5SZpHV3isl3hpY kzbin.info/www/bejne/sH-veGuqqKaSfdE kzbin.info/www/bejne/momxdWSFeqd0eKs
@HadiAhmed7546
@HadiAhmed7546 2 жыл бұрын
Hi, quick question ... What if instead of y1, y2, etc being target variables they were just observations of the same variable? How would you set up a model in that case? Thanks
@AricLaBarr
@AricLaBarr 2 жыл бұрын
That is how the basic ARIMA models are structured. Imagine a variable a just a collection of observations. If that is what you have then you only have one target variable. At that point you can use any of the basic time series models like ARIMA, Exponential Smoothing, Prophet, etc. You can check out the videos on those as well as I think that would be what you are looking for!
@alejndraalmirowitsch4897
@alejndraalmirowitsch4897 11 ай бұрын
2:30 lmao
@lashlarue7924
@lashlarue7924 Жыл бұрын
Ok, you lost me there in the end. I don't have enough RAM between my ears and my brain hit a memory overflow condition...
@jdean1295
@jdean1295 2 жыл бұрын
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