statsmodels.tsa.vector_ar.var_model.VARResults.orth_ma_rep¶
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VARResults.
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 \(\Sigma_u\)