statsmodels.tsa.vector_ar.var_model.VARProcess.mse¶

VARProcess.mse(steps)[source]¶

Compute theoretical forecast error variance matrices

Parameters:

steps : int

Number of steps ahead

Returns:

forc_covs : ndarray (steps x neqs x neqs)

Notes

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