statsmodels.sandbox.sysreg.SUR.whiten

SUR.whiten(X)[source]

SUR whiten method.

Parameters:
Xlist 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.

Last update: Apr 12, 2024