Dynamic Vector Autoregression

RJT1990 / pyflux

Open source time series library for Python

BSD 3-Clause "New" or "Revised" License

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Dynamic Vector Autoregression #107

Open jengelman opened 6 years ago

jengelman commented 6 years ago

Given that the library contains excellent VAR and DAR implementations, a Dynamic VAR class would be a great addition. The Statsmodels version hasn't been maintained for a long time (currently broken), so as far as I know there's no (working) open source Python implementation.

RJT1990 commented 6 years ago

That would be nice. Unfortunately realistically I am not going to have time to build this, but if you are up for it then you can look at how the existing models are constructed and base it on that?