statsmodels.tsa.vector_ar.svar_model.SVARProcess.forecast_cov¶
-
SVARProcess.
forecast_cov
(steps)¶ Compute theoretical forecast error variance matrices
- Parameters
steps : int
Number of steps ahead
- Returns
forc_covs : ndarray (steps x neqs x neqs)
Notes
\[\mathrm{MSE}(h) = \sum_{i=0}^{h-1} \Phi \Sigma_u \Phi^T\]