Logo

statsmodels.tsa.vector_ar.var_model.VARResults.forecast_cov

VARResults.forecast_cov(steps=1)[source]

Compute forecast covariance matrices for desired number of steps

Parameters:steps : int
Returns:covs : ndarray (steps x k x k)

Notes

\Sigma_{\hat y}(h) = \Sigma_y(h) + \Omega(h) / T

Ref: Lutkepohl pp. 96-97

Previous topic

statsmodels.tsa.vector_ar.var_model.VARResults.forecast

Next topic

statsmodels.tsa.vector_ar.var_model.VARResults.forecast_interval

This Page