Question about autoregressive vector prediction
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Hi everyone!
I'm using the forecast function to get the prediction of an autoregressive vector in Matlab R2018b.
As you can see on forecast documentation:
"The predictor data does not contribute variability to YMSE because forecast treats XF as a nonstochastic matrix."
It's important to say that, the square roots of YMSE are the standard errors of the forecasts of Y.
And, I need a different standard error for each predicted path.
What function of Matlab can I use to get variability to YMSE? How can I obtain a different standard error for each predicted path?
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2020-1-8
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2021-8-20
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