论文标题
双维有限变化VAR（1）模型组件的乘积的依赖性结构。申请电力负载预测错误
Dependence structure for the product of bi-dimensional finite-variance VAR(1) model components. An application to the cost of electricity load prediction errors
论文作者
论文摘要
在本文中，我们分析了双维var（1）模型组件的乘积。在引入的时间序列中，我们得出了用于自动练习函数的一般公式，并研究了其特性，用于VAR（1）模型组件之间的不同交叉依赖性情况。然后，在仿真研究中为残留序列的两种双变量分布（即高斯和学生的T）进行了理论结果。我们还根据电力市场数据显示了获得的结果的实际应用。
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.
