statsmodels.tsa.vector_ar.vecm.VECMResults.orth_ma_rep

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

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

coefsndarray (maxn x neqs x neqs)