Sciweavers

CSDA
2007
124views more  CSDA 2007»
13 years 4 months ago
Wavelet based time-varying vector autoregressive modelling
Vector autoregressive (VAR) modelling is one of the most popular approaches in multivariate time series analysis. The parameters interpretation is simple, and provide an intuitive...
João Ricardo Sato, Pedro Alberto Morettin, ...