total.forecast.cov {dse2} | R Documentation |
Sum covariance of forecasts across all series.
total.forecast.cov(obj, select=NULL)
obj |
An object as returned by forecast.cov. |
select |
Series to be select for summation. With the default all series are selected. |
An object similar to that returned by forecast.cov, with the covariance summed over all selected series.
if(is.R()) data("eg1.DSE.data.diff", package="dse1") model1 <- est.VARX.ar(eg1.DSE.data.diff) model2 <- est.VARX.ls(eg1.DSE.data.diff) z <- total.forecast.cov(forecast.cov(model1, model2, data=trim.na(eg1.DSE.data.diff)))