BVAR English (en) français (fr)

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BVAR stands for Bayesian Vector AutoRegression

In statistics, Bayesian vector autoregression (BVAR) uses Bayesian methods to estimate a vector autoregression (VAR). In that respect, the difference with standard VAR models lies in the fact that the model parameters are treated as random variables, and prior probabilities are assigned to them.[1]

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References

  1. Wikipedia, Bayesian vector autoregression, last retrieved on 4 October 2017.
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