VARResults.cov_ybar()

statsmodels.tsa.vector_ar.var_model.VARResults.cov_ybar

VARResults.cov_ybar() [source]

Asymptotically consistent estimate of covariance of the sample mean

$\sqrt(T) (\bar{y} - \mu) \rightarrow {\cal N}(0, \Sigma_{\bar{y}})\\\Sigma_{\bar{y}} = B \Sigma_u B^\prime, \text{where } B = (I_K - A_1- \cdots - A_p)^{-1}$

Notes

Lutkepohl Proposition 3.3

Links:

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

doc_statsmodels

2017-01-18 16:21:49

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