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statsmodels.tsa.vector_ar.var_model.VARResults.mse

VARResults.mse(steps)

Compute theoretical forecast error variance matrices

Parameters: steps (int) – Number of steps ahead

Notes

\[\mathrm{MSE}(h) = \sum_{i=0}^{h-1} \Phi \Sigma_u \Phi^T\]
Returns: forc_covs
Return type: ndarray (steps x neqs x neqs)

© 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.mse.html