Time Series Forecasting: VARMAX Model

Just as with univariate time series, VAR models can be built upon to account for various processes. A VAR can be broken down into smaller and more common VARs, or a VARMAX can be more complex.

In terms of advanced techniques, multivariate time series modeling is one of them. In contrast to techniques for univariate time series, they do not always have Python implementations. It is still relatively common to use VAR models in this field, but the more advanced models are becoming less and less documented.

The VARMAX model is introduced in this a…