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Could someone tell me the computation cost of using Ordinary least squares in estimating a Vector autoregression model? I am thinking the cost is O(n) where n is the number of the training instance. But I am not sure about this. Thank you.

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What do you mean by "training instances"? How many variables and lags have you got? What have you tried to answer the question yourself (i.e. by finding complexity of OLS for a simple regression)? –  Deer Hunter Jan 1 '13 at 18:54
Hi, Hunter,Thank you for your response. –  user1859149 Jan 3 '13 at 5:20
I have found the answer for analyzing the computation complexity of Least Square for a regression here: math.stackexchange.com/questions/84495/…. But if you happend to know some paper, which is exactly what I want. –  user1859149 Jan 3 '13 at 5:24
isn't it estimated throught LS method ? –  Qbik May 12 '13 at 20:24
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