statsmodels.tsa.vector_ar.var_model.VARResults.forecast_cov¶

VARResults.forecast_cov(steps=1, method='mse')[source]¶

计算所需步数的预测协方差矩阵

Parameters:¶

stepsint

Returns:¶

covsndarray (steps x k x k)

注释

\[\Sigma_{\hat y}(h) = \Sigma_y(h) + \Omega(h) / T\]

参考: Lütkepohl 第96-97页