dse (version 2020.2-1)

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

# NOT RUN {
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)))
# }