tsa
VARResults.
forecast_cov
Compute forecast covariance matrices for desired number of steps
Notes
\Sigma_{\hat y}(h) = \Sigma_y(h) + \Omega(h) / T
Ref: Lutkepohl pp. 96-97
statsmodels.tsa.vector_ar.var_model.VARResults.forecast
statsmodels.tsa.vector_ar.var_model.VARResults.forecast_interval
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