totalForecastCov {dse2} | R Documentation

## 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

    if(is.R()) data("eg1.DSE.data.diff", package="dse1")
    model1 <- estVARXar(eg1.DSE.data.diff)
    model2 <- estVARXls(eg1.DSE.data.diff)
    z <-  totalForecastCov(forecastCov(model1, model2,
                             data=trimNA(eg1.DSE.data.diff)))

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