VARProcess.mse()

statsmodels.tsa.vector_ar.var_model.VARProcess.mse

VARProcess.mse(steps) [source]

Compute theoretical forecast error variance matrices

Parameters:

Parameters:	steps : int Number of steps ahead
Returns:	forc_covs : ndarray (steps x neqs x neqs)

steps : int

Number of steps ahead

Returns:

forc_covs : ndarray (steps x neqs x neqs)

$\mathrm{MSE}(h) = \sum_{i=0}^{h-1} \Phi \Sigma_u \Phi^T$

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© 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.VARProcess.mse.html