Dependence structure for the product of bi-dimensional finite-variance VAR(1) model components. An application to the cost of electricity load prediction errors

Joanna Janczura, Andrzej Puć, Łukasz Bielak +1

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…