statsmodels.tsa.vector_ar.var_model.VARProcess.orth_ma_rep

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

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

Parameters:
  • maxn (int) – Number of coefficient matrices to compute
  • P (ndarray (k x k), optional) – Matrix such that Sigma_u = PP’, defaults to Cholesky descomp
Returns:

coefs
Return type:

ndarray (maxn x k x k)