statsmodels.tsa.vector_ar.svar_model.SVARResults.sample_acov

SVARResults.sample_acov(nlags=1)

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).