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VARProcess.mse()

statsmodels.tsa.vector_ar.var_model.VARProcess.mse

VARProcess.mse(steps) [source]

Compute theoretical forecast error variance matrices

Parameters:

steps : int

Number of steps ahead

Returns:

forc_covs : ndarray (steps x neqs x neqs)

Notes

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

Links:

http://statsmodels.sourceforge.net/stable/generated/statsmodels.tsa.vector_ar.var_model.VARProcess.mse.html

doc_statsmodels

2025-01-10 15:47:30

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