statsmodels.tsa.vector_ar.var_model.VARResults.forecast_cov

VARResults.forecast_cov(steps=1, method='mse') [source]

Compute forecast covariance matrices for desired number of steps

Parameters: steps (int) –

Notes

\[\Sigma_{\hat y}(h) = \Sigma_y(h) + \Omega(h) / T\]

Ref: Lütkepohl pp. 96-97

Returns: covs
Return type: ndarray (steps x k x k)

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© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.tsa.vector_ar.var_model.VARResults.forecast_cov.html