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

$$\mathrm{MSE}(h)=\sum _{i=0}^{h-1}\mathrm{\Phi }{\mathrm{\Sigma }}_u{\mathrm{\Phi }}^T$$