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
Notes
\[\Sigma_{\hat y}(h) = \Sigma_y(h) + \Omega(h) / T\]Ref: Lütkepohl pp. 96-97
Last update:
Oct 08, 2024