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statsmodels.tsa.vector_ar.var_model.VARResults.forecast_cov

VARResults.forecast_cov(steps=1)[source]

Compute forecast covariance matrices for desired number of steps

Parameters:steps : int
Returns:covs : ndarray (steps x k x k)

Notes

System Message: WARNING/2 (\Sigma_{\hat y}(h) = \Sigma_y(h) + \Omega(h) / T )

latex exited with error [stdout] This is pdfTeX, Version 3.14159265-2.6-1.40.15 (TeX Live 2014) (preloaded format=latex) restricted \write18 enabled. entering extended mode (./math.tex LaTeX2e <2011/06/27> Babel <3.9k> and hyphenation patterns for 2 languages loaded. (/usr/share/texlive/texmf-dist/tex/latex/base/article.cls Document Class: article 2007/10/19 v1.4h Standard LaTeX document class (/usr/share/texlive/texmf-dist/tex/latex/base/size12.clo)) (/usr/share/texlive/texmf-dist/tex/latex/base/inputenc.sty ! LaTeX Error: File `utf8x.def’ not found. Type X to quit or <RETURN> to proceed, or enter new name. (Default extension: def) Enter file name: ! Emergency stop. <read *> l.131 \endinput ^^M No pages of output. Transcript written on math.log.

Ref: Lutkepohl pp. 96-97

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