statsmodels.tsa.vector_ar.svar_model.SVARResults.cov_ybar¶

SVARResults.cov_ybar()¶

样本均值协方差的渐近一致估计

\[ \begin{align}\begin{aligned}\begin{split}\sqrt(T) (\bar{y} - \mu) \rightarrow {\cal N}(0, \Sigma_{\bar{y}}) \\\end{split}\\\Sigma_{\bar{y}} = B \Sigma_u B^\prime, \text{where } B = (I_K - A_1 - \cdots - A_p)^{-1}\end{aligned}\end{align} \]

注释

Lütkepohl 命题 3.3