statsmodels.tsa.vector_ar.var_model.VARProcess.forecast_cov¶

VARProcess.forecast_cov(steps)¶

Compute theoretical forecast error variance matrices

Parameters:¶

stepsint

Number of steps ahead

Returns:¶

forc_covsndarray (steps x neqs x neqs)

Notes

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