Vectorized autoregressive model

[rhouck]

I wanted to link a relevant post to this conversation:

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 …

It looks like the goal here was to fit AR models for multiple series simultaneously but not necessarily to let each series’ estimate inform the others. I’m hoping there’s a way to to estimate AR models that load on each others’ lagged values. Any suggestions would be appreciated. Thank you.