dse: totalForecastCov – R documentation

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totalForecastCov

Sum covariance of forecasts across all series

Description

Sum covariance of forecasts across all series.

Usage

totalForecastCov(obj, select=NULL)

Arguments

`obj`	An object as returned by forecastCov.
`select`	Series to be select for summation. With the default all series are selected.

Value

An object similar to that returned by forecastCov, with the covariance summed over all selected series.

Examples

data("eg1.DSE.data.diff", package="dse")
model1 <- estVARXar(eg1.DSE.data.diff)
model2 <- estVARXls(eg1.DSE.data.diff)
z <-  totalForecastCov(forecastCov(model1, model2,
                         data=trimNA(eg1.DSE.data.diff)))

dse

Dynamic Systems Estimation (Time Series Package)

v2020.2-1

GPL-2

Authors

Paul Gilbert <pgilbert.ttv9z@ncf.ca>

Initial release