statsmodels.tsa.vector_ar.svar_model.SVARProcess.forecast_cov¶
- SVARProcess.forecast_cov(steps)¶
Compute theoretical forecast error variance matrices
Notes
\[\mathrm{MSE}(h) = \sum_{i=0}^{h-1} \Phi \Sigma_u \Phi^T\]
Last update:
Dec 16, 2024