Bayesian VAR

A Bayesian VAR (Vector Autoregression) is a statistical model used to analyze and forecast multiple related time series, like economic indicators. It considers how each variable depends on its own past values and others', updating the estimates as new data arrives. The Bayesian approach incorporates prior knowledge or beliefs about the parameters, combining this with observed data to produce more stable and reliable forecasts, especially when data is limited or noisy. Essentially, it’s a tool that helps understand and predict complex systems by blending data with existing knowledge in a scientifically rigorous way.