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

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