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statsmodels.tsa.vector_ar.var_model.VARProcess.forecast_cov

VARProcess.forecast_cov(steps)

Compute theoretical forecast error variance matrices

Parameters:

steps : int

Number of steps ahead

Returns:

forc_covs : ndarray (steps x neqs x neqs)

Notes

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

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