statsmodels.tsa.vector_ar.var_model.VARProcess.orth_ma_rep

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

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

Parameters

maxnint

Number of coefficient matrices to compute

Pndarray (k x k), optional

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

Returns

coefsndarray (maxn x k x k)