AI engineering glossary · Time series recsys
What is VAR (vector autoregression)?
Vector autoregression (also called VAR): A multivariate model in which each series is predicted from past values of itself and of all the other series in the group. It captures how several related series influence one another over time.
Vector autoregression: an example
Model daily petrol price, transport demand and inflation together, each depending on the last 2 days of all three.
Related terms
More Time series recsys terms
- Volatility clustering
- Weak stationarity
- Weighted absolute percentage error
- White noise
- Wide and Deep
- Additive decomposition
- Alternating least squares
- Anomaly detection (time series)
Where you learn it
Vector autoregression is part of the AI Engineering Program, which teaches it with notes, a hands-on lab and an exam. The first lesson is free.