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DeepVARwT: Deep Learning for a VAR Model with Trend

The dataset is a vector autoregressive (VAR) model with trend, where the mean is modeled by a recurrent neural network of the LSTM type, and the dependence structure is modeled by a VAR model.

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Cite this as

Xixi Li, Jingsong Yuan (2024). Dataset: DeepVARwT: Deep Learning for a VAR Model with Trend. https://doi.org/10.57702/8e1ty8k9

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Additional Info

Field	Value
Created	December 17, 2024
Last update	December 17, 2024
Defined In	https://doi.org/10.48550/arXiv.2209.10587
Author	Xixi Li
More Authors	Jingsong Yuan