Web: http://arxiv.org/abs/2209.01172

Sept. 29, 2022, 1:13 a.m. | Yao Zheng

stat.ML updates on arXiv.org arxiv.org

As a special infinite-order vector autoregressive (VAR) model, the vector
autoregressive moving average (VARMA) model can capture much richer temporal
patterns than the widely used finite-order VAR model. However, its practicality
has long been hindered by its non-identifiability, computational
intractability, and relative difficulty of interpretation. This paper
introduces a novel infinite-order VAR model which, with only a little sacrifice
of generality, inherits the essential temporal patterns of the VARMA model but
avoids all of the above drawbacks. As another attractive …

arxiv autoregressive model series time series vector

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