Question

What does a p order vector auto regressive process generalize ? 1 variable AR(p) process to 1 variable 1 variable AR(p) process to n variables n variables AR(p) process to n variables n variables AR(p) process to 1 variable

Answer 1

The vector autoregression (VAR) model is considered to be one of the most successful, flexible, as well as the most easy to use models for the analysis of multivariate time series.

This is the natural extension of a univariate autoregressive model to the dynamic mul- tivariate time series. Thus it is a very helpful model.

Answer 2

Answer:

Answer is : 1 variable AR(p) process to n variables

Explanation: