totalForecastCov            package:dse2            R Documentation

_S_u_m _c_o_v_a_r_i_a_n_c_e _o_f _f_o_r_e_c_a_s_t_s _a_c_r_o_s_s _a_l_l _s_e_r_i_e_s

_D_e_s_c_r_i_p_t_i_o_n:

     Sum covariance of forecasts across all series.

_U_s_a_g_e:

         totalForecastCov(obj, select=NULL)

_A_r_g_u_m_e_n_t_s:

     obj: An object  as returned by forecastCov.

  select: Series to be select for summation. With the default all
          series are selected.

_V_a_l_u_e:

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

_E_x_a_m_p_l_e_s:

     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)))

