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A VAR with p lags can always be equivalently rewritten as a VAR with only one lag by appropriately redefining the dependent variable. The transformation amounts to stacking the lags of the VAR(p) variable in the new VAR(1) dependent variable and appending identities to complete the precise number of equations. For example, the VAR(2) model
In statistics, the variance function is a smooth function that depicts the variance of a random quantity as a function of its mean.
Var = (SumSq − (Sum × Sum) / n) / (n − 1) This algorithm can easily be adapted to compute the variance of a finite population: simply divide by n instead of n − 1 on the last line. Because SumSq and (Sum×Sum)/ n can be very similar numbers, cancellation can lead to the precision of the result to be much less than the inherent precision ...
If the set is a sample from the whole population, then the unbiased sample variance can be calculated as 1017.538 that is the sum of the squared deviations about the mean of the sample, divided by 11 instead of 12. A function VAR.S in Microsoft Excel gives the unbiased sample variance while VAR.P is for population variance.
Here, as usual, stands for the conditional expectation of Y given X, which we may recall, is a random variable itself (a function of X, determined up to probability one). As a result, Var ( Y ∣ X ) {\displaystyle \operatorname {Var} (Y\mid X)} itself is a random variable (and is a function of X ).
Formulas in the B column multiply values from the A column using relative references, and the formula in B4 uses the SUM() function to find the sum of values in the B1:B3 range. A formula identifies the calculation needed to place the result in the cell it is contained within. A cell containing a formula, therefore, has two display components ...
Other generating functions of random variables include the moment-generating function, the characteristic function and the cumulant generating function. The probability generating function is also equivalent to the factorial moment generating function , which as E [ z X ] {\displaystyle \operatorname {E} \left[z^{X}\right]} can also be ...
The 5% Value at Risk of a hypothetical profit-and-loss probability density function. Value at risk (VaR) is a measure of the risk of loss of investment/capital.It estimates how much a set of investments might lose (with a given probability), given normal market conditions, in a set time period such as a day.