Variance Decomposition
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Variance Decomposition

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High Quality Content by WIKIPEDIA articles! Variance Decomposition or Forecast error variance decomposition indicates the amount of information each variable contributes to the other variables in a Vector autoregression VAR models. Variance decomposition determines how much of the forecast error variance of each of the variable can be explained by exogenous shocks to the other variables. Vector autoregression VAR is an econometric model used to capture the evolution and the interdependencies between multiple time series, generalizing the univariate AR models. All the variables in a VAR are tre...