statsmodels.tsa.vector_ar.var_model.VARProcess.mse

VARProcess.mse(steps)

Compute theoretical forecast error variance matrices

Parameters:steps (int) – Number of steps ahead

Notes

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

Returns:forc_covs Return type:ndarray (steps x neqs x neqs)