From Multidimensional Ornstein - Uhlenbeck Process to Bayesian Vector Autoregressive Process
نویسندگان
چکیده
The main purpose of  this paper is to make the connexion between stochastic analysis, Bayesian Statistics, and time series analysis for policy analysis. This approach solves problem of mathematical modelling - presence uncertainties in models parameters -  that reduces the  forecasting   effectiveness. By using multiple It\^o  integral, multidimensional Ornstein Uhlenbeck process can be written as a Vector Autoregressive with lag 1 (VAR(1)) generalization process. The  limit fact it requires  strong foundations
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ژورنال
عنوان ژورنال: Journal of Mathematics Research
سال: 2023
ISSN: ['1916-9795', '1916-9809']
DOI: https://doi.org/10.5539/jmr.v15n1p32