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arXiv · 2203.02249

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

Joanna Janczura·Andrzej Puć·Łukasz Bielak·Agnieszka Wyłomańska
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Abstract

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.

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Joanna Janczura, Andrzej Puć, Łukasz Bielak, Agnieszka Wyłomańska. 2022-03-04. Dependence structure for the product of bi-dimensional finite-variance VAR(1) model components. An application to the cost of electricity load prediction errors. https://arxiv.org/abs/2203.02249

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