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statsmodels.sandbox.sysreg.SUR.whiten
-
SUR.
whiten
(X)[source]
SUR whiten method.
- Parameters
- X
list
of
arrays
Data to be whitened.
- Returns
If
X
is
the
exogenous
RHS
of
the
system.
np.dot(np.kron(cholsigmainv,np.eye(M)),np.diag(X))
If
X
is
the
endogenous
LHS
of
the
system.