To estimate 1-dimensional VAR process (which is AR process) you can easily use functions EstimatedProcess
or FindProcessParameters
like this:
sample = RandomFunction[ARProcess[{.2,-.4},.1], {1,300}];
EstimatedProcess[sample, ARProcess[{a,b},v]]
(*or*)
FindProcessParameters[sample, ARProcess[{a,b},v]]
Now lets say we have sample
alpha = {{.2,.1}, {-.3,.2}};
sigma = {{1.0,0}, {0,0.3}};
sample = RandomFunction[ARProcess[{alpha},sigma], {1,100}]
which is based on two dimensional VAR process (I took this definition from ARProcess
documentation).
Then neither of this two ways does work:
EstimatedProcess[sample,ARProcess[{{{a1,a2}, {a3,a4}}}, {{v1,v2}, {v3,v4}}]]
FindProcessParameters[sample,ARProcess[{{{a1,a2}, {a3,a4}}}, {{v1,v2}, {v3,v4}}]]
Is it possible to estimate vector autoregressive process in Mathematica?