statsmodels.tsa.vector_ar.var_model.VARProcess.forecast_interval

VARProcess.forecast_interval(y, steps, alpha=0.05, exog_future=None) [source]

Construct forecast interval estimates assuming the y are Gaussian

Notes

Lütkepohl pp. 39-40

Returns:	(mid, lower, upper)
Return type:	(ndarray, ndarray, ndarray)