Multivariate Time Series Forecasting: Nonparametric Vector Autoregression Using NNS

15 Pages Posted: 13 Dec 2019

See all articles by Fred Viole

Fred Viole

OVVO Financial Systems; Fordham University

Date Written: November 18, 2019

Abstract

This quick note is intended to introduce the intuition behind the 'NNS.VAR' function in the "NNS" R-package, which serves as a nonparametric vector autoregression.

Keywords: vector autoregression, nonparametric, partial moments, nonlinear regression, time-series, multivariate

JEL Classification: C3, C32, C53

Suggested Citation

Viole, Fred, Multivariate Time Series Forecasting: Nonparametric Vector Autoregression Using NNS (November 18, 2019). Available at SSRN: https://ssrn.com/abstract=3489550 or http://dx.doi.org/10.2139/ssrn.3489550

Fred Viole (Contact Author)

OVVO Financial Systems ( email )

NJ
United States

Fordham University ( email )

Bronx, NY 10458
United States

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