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VARResults.forecast_cov()

statsmodels.tsa.vector_ar.var_model.VARResults.forecast_cov

VARResults.forecast_cov(steps=1) [source]

Compute forecast covariance matrices for desired number of steps

Parameters:	steps : int
Returns:	covs : ndarray (steps x k x k)

Notes

$\Sigma_{\hat y}(h) = \Sigma_y(h) + \Omega(h) / T$

Ref: Lutkepohl pp. 96-97

Links:

http://statsmodels.sourceforge.net/stable/generated/statsmodels.tsa.vector_ar.var_model.VARResults.forecast_cov.html

doc_statsmodels

2017-01-18 16:21:51

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