statsmodels.tsa.vector_ar.vecm.VECMResults.orth_ma_rep

VECMResults.orth_ma_rep(maxn=10, P=None)

Compute orthogonalized MA coefficient matrices.

For this purpose a matrix P is used which fulfills $\Sigma_u = PP^\prime$. P defaults to the Cholesky decomposition of $\Sigma_u$

Parameters:

• maxn (int) – Number of coefficient matrices to compute
• P (ndarray (neqs x neqs), optional) – Matrix such that $\Sigma_u = PP'$. Defaults to Cholesky decomposition.

Returns:

coefs

Return type:

ndarray (maxn x neqs x neqs)