Logo

scikits.statsmodels.tsa.vector_ar.var_model.VARProcess.forecast

VARProcess.forecast(y, steps)[source]

Produce linear minimum MSE forecasts for desired number of steps ahead, using prior values y

Parameters :

y : ndarray (p x k)

steps : int

Returns :

forecasts : ndarray (steps x neqs)

Notes

Lutkepohl pp 37-38

Previous topic

sm.tsa.vector_ar.var_model.VARProcess.acorr

Next topic

sm.tsa.vector_ar.var_model.VARProcess.forecast_cov

This Page