BacktestResult.rmse

property BacktestResult.rmse: NDArray[float64]

(H, k) root mean squared errors, averaged over origins.

Example

>>> import numpy as np
>>> from cultivars.multivariate.reduced_form.vector_autoregression import VAR
>>> y = np.random.default_rng(0).standard_normal((130, 2))
>>> record = Backtest(y, lambda w: VAR(w, order=1).fit(), horizons=3, start=100).run()
>>> record.rmse.shape
(3, 2)