statsmodels.tsa.vector_ar.var_model.VARProcess.mean¶

VARProcess.mean()[source]¶

Long run intercept of stable VAR process

Warning: trend and exog except for intercept are ignored for this. This might change in future versions.

Lütkepohl eq. 2.1.23

$$\mu =(I-A_1-\cdots -A_p{)}^{-1}\alpha$$

where alpha is the intercept (parameter of the constant)