Sumários
Lecture 3
6 Outubro 2021, 18:00 • Nuno Sobreira
Solution of R homework exercise. Forecasting with VAR Processes. Point forecasts and Interval forecasts with VAR processes.
Lecture 2
22 Setembro 2021, 18:00 • Nuno Sobreira
Main properties of Vector Autoregressive Processes. The Wold Decomposition. Stationarity and Stability Conditions for VAR Processes. Mean, Variance, Autocovariance and Autocorrelation Functions. The Yule Walker Equations