statsmodels.tsa.vector_ar.vecm.VECMResults.orth_ma_rep¶

method

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

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

maxnint: Number of coefficient matrices to compute
Pndarray (neqs x neqs), optional: Matrix such that \(\Sigma_u = PP'\). Defaults to Cholesky decomposition.

Returns