Dependence structure for the product of bi-dimensional finite-variance VAR(1) model components. An application to the cost of electricity load prediction errors

Autor:	Janczura, Joanna, Puć, Andrzej, Bielak, Łukasz, Wyłomańska, Agnieszka
Rok vydání:	2022
Předmět:	Statistics - Methodology Mathematics - Probability 60E07 62H10 62H20
Druh dokumentu:	Working Paper
Popis:	In this paper we analyze the product of bi-dimensional VAR(1) model components. For the introduced time series we derive general formulas for the autocovariance function and study its properties for different cases of cross-dependence between the VAR(1) model components. The theoretical results are then illustrated in the simulation study for two types of bivariate distributions of the residual series, namely the Gaussian and Student's t. We also show a possible practical application of the obtained results based on the data from the electricity market.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2203.02249 Zobrazit plný text záznamu View this record from Arxiv