statsmodels.sandbox.sysreg.SUR.whiten
-
SUR.whiten(X)[source]
SUR whiten method.
- Parameters:
- X
list
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:
Oct 08, 2024