VARResults.forecast_cov(steps=1, method='mse')
[source]
Compute forecast covariance matrices for desired number of steps
Parameters: | steps (int) – |
---|
Ref: Lütkepohl pp. 96-97
Returns: | covs |
---|---|
Return type: | ndarray (steps x k x k) |
© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.tsa.vector_ar.var_model.VARResults.forecast_cov.html