statsmodels.tsa.vector_ar.var_model.VARProcess.forecast_cov

VARProcess.forecast_cov(steps)

Compute theoretical forecast error variance matrices

Parameters:
stepsint

Number of steps ahead

Returns:
forc_covsndarray (steps x neqs x neqs)

Notes

\[\mathrm{MSE}(h) = \sum_{i=0}^{h-1} \Phi \Sigma_u \Phi^T\]

Last update: May 14, 2024