Add Bayesian VAR(2) example script #1658

[aibit0111]

VAR(2) examples:
Reference - https://otexts.com/fpp2/VAR.html
fix #1658

[tillahoffmann]

This looks interesting! As of #1904, there is a Gaussian state space model distribution. Would that be suitable for the VAR here?

[fehiepsi]

In addition, could you add the example to docs index together with thumbnails (like in #1429)?

[aibit0111]

Hi @fehiepsi, added the index and thumbnails.

[aibit0111]

This looks interesting! As of #1904, there is a Gaussian state space model distribution. Would that be suitable for the VAR here?

Hi @tillahoffmann, awesome work on SSM, do you want me to create example using SSM?

[aibit0111]

@fehiepsi , Lint has failed, when I am fixing with ruff, it is changing some more files other that var2.py
I have been working on some econometric models with numpyro, will be adding more models.

[tillahoffmann]

Hi @tillahoffmann, awesome work on SSM, do you want me to create example using SSM?

I think using the current implementation in this PR or SSM could both work. The latter might be a bit more concise because you wouldn't have to implement the transition function.

[fehiepsi]

@aibit0111 Could you merge with master? lint issues are fixed upstream.

[aibit0111]

@fehiepsi Done