Vector Autoregressions?

[rhouck]

I’ve posted a new related topic here:

How to implement vector autoregression with interdependencies?

Hello, I’m hoping someone can help me implement a vector autoregression in pymc3 that includes interdependencies between time series. vector autoregression described here: https://en.wikipedia.org/wiki/Vector_autoregression I understand I can use pm.AR to model multiple time series simultaneously, however it seems the rho parameter is limited to two dimensions, implying that time series will be modeled as independent series. I’d like to set up a model that estimates weights on a series’s own …

vector autoregressions of independent series are doable by passing a 2d set of priors for the rho argument to pm.AR. I’m not sure how we let these series load on each other’s lagged values though.