statsmodels.tsa.vector_ar.var_model.VARProcess.mse¶
- VARProcess.mse(steps)[source]¶
Compute theoretical forecast error variance matrices
Notes
\[\mathrm{MSE}(h) = \sum_{i=0}^{h-1} \Phi \Sigma_u \Phi^T\]
Last update:
Dec 11, 2024