statsmodels.tsa.vector_ar.var_model.VARProcess.orth_ma_rep

VARProcess.orth_ma_rep(maxn=10, P=None)[source]

Compute Orthogonalized MA coefficient matrices using P matrix such that \Sigma_u = PP^\prime. P defaults to the Cholesky decomposition of \Sigma_u

Parameters:

maxn : int

Number of coefficient matrices to compute

P : ndarray (k x k), optional

Matrix such that Sigma_u = PP’, defaults to Cholesky descomp
Returns:

coefs : ndarray (maxn x k x k)