Advanced Forecasting with Python: With State-of-the-Art-Models Including LSTMs, Facebook’s Prophet, and Amazon’s DeepAR

© The Author(s), under exclusive license to APress Media, LLC, part of Springer Nature 2021

J. KorstanjeAdvanced Forecasting with Pythonhttps://doi.org/10.1007/978-1-4842-7150-6_9

9. The VAR Model

Joos Korstanje¹  

(1)

Maisons Alfort, France

 

In this chapter, you will discover the VAR model, short for the Vector Autoregression model. Vector Autoregression models the development over time of multiple variables at the same time.

The term autoregression should sound familiar from the previous chapters. The Vector Autoregression model is part of the family of time series models. Like other models from this category, it predicts the future based on developments in the past of the target variables.

There is an important specificity to Vector Autoregression. ...