statsmodels.tsa.vector_ar.var_model.VARProcess.mse¶

VARProcess.mse(steps)[source]¶

计算理论预测误差方差矩阵

Parameters:¶

stepsint

提前的步数

Returns:¶

forc_covsndarray (steps x neqs x neqs)

注释

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