Vector Autoregression (VAR) - Comprehensive Guide with Examples in Python - Machine Learning Plus

Vector Autoregression (VAR) is a forecasting algorithm that can be used when two or more time series influence each other. That is, the relationship between the time series involved is bi-directional. In this post, we will see the concepts, intuition behind VAR models and see a comprehensive and correct method to train and forecast VAR models in python using statsmodels. First, what is Vector Autoregression (VAR) and when to use it? Vector Autoregression (VAR) is a multivariate forecasting algorithm that is used when two or more time series influence each other.