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statsmodels.tsa.vector_ar.var_model.VARResults.forecast_cov
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VARResults.
forecast_cov
(steps=1, method='mse')[source]
Compute forecast covariance matrices for desired number of steps
Notes
Σˆy(h)=Σy(h)+Ω(h)/T
Ref: Lütkepohl pp. 96-97
Returns: | covs |
Return type: | ndarray (steps x k x k) |