 Usage:  covf=cfc1diff(hh,covyh,covu,phi,f,di)  

 

 Input:



  hh                     scalar, forecast horizon 

                         

  covyh                  matrix, covariance matrix of forecasts 

                         

  covu                   matrix, covariance matrix of residuals 

                         

  phi                    scalar, 1.96 for alpha=0.95 

                         

  f                      matrix 

                         

  di                     scalar, dimension of time series 

                         

 Output:



  conf                   matrix, forecast intervals 

                         

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(C) MD*TECH Method and Data Technologies, 21.9.2000

