statsmodels.tsa.vector_ar.var_model.VARResults.sample_acov#

VARResults.sample_acov(nlags=1)[source]#

Compute sample autocovariance (including lag 0)

Parameters:

nlagsint, optional: The number of lags to include, not counting the zero lag.

Returns:

acovndarray: Autocovariances of the endogenous variables, shape (nlags + 1, neqs, neqs).