VAR Model

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Model the time series using vector autoregression (VAR) model.

Signals

Inputs

Outputs

  • Time series model

    The VAR model fitted to input time series.

  • Forecast

    The forecast time series.

  • Fitted values

    The values that the model was actually fitted to, equals to original values - residuals.

  • Residuals

    The errors the model made at each step.

Description

Using this widget, you can model the time series using VAR model.

../_images/var-model-stamped.png
  1. Model’s name. By default, the name is derived from the model and its parameters.
  2. Desired model order (number of parameters).
  3. If other than None, optimize the number of model parameters (up to the value selected in (2)) with the selected information criterion (one of: AIC, BIC, HQIC, FPE, or a mix thereof).
  4. Choose this option to add additional “trend” columns to the data. If Constant, a single column of ones is added. If Constant and linear, a column of ones and a column of linearly increasing numbers are added. If Constant, linear and quadratic, an additional column of quadratics is added.
  5. Number of forecast steps the model should output, along with the desired confidence intervals values at each step.

Example

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