Re: DM: Prediction of values of 2 or more variables

[C. K. Krishnadas]

Hello Colin,

For multivariate forecasting/modelling you may find Vector 
AutoRegression 
(VAR) useful.  There is also a nice enhancement called cointegrated 
vector autoregression which borrows from the theory of canonical 
correlations and reduced rank regression.  It is very neat in theory 
and 
also in practice.  There are two nice books. One written by Banerjee, 
Dolado, Galbraith and one more author. The other is written by Soren 
Johansen.  An earlier work is by Engle and Granger.  Unfortunately I 
don't recollect the exact titles.  Literature in this area is growing 
very fast.  If you have any difficulty in finding out the references, 
I 
can get you exact details.

Regards.

  -- Krishnadas


On Wed, 30 Jul 1997, Ho K M wrote:

> Does anyone know any technique that predicts values of 2 or more 
>variables.
> 
> Colin
> 

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C. K. Krishnadas                c k krish at cyberspace dot o r g
ckkrish@cyberspace.org         http://www.cyberspace.org/~ckkrish
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