statsmodels.tsa.vector_ar.svar_model.SVARProcess.svar_ma_rep#

SVARProcess.svar_ma_rep(maxn=10, P=None)[source]#

Compute Structural MA coefficient matrices using MLE of A, B

Parameters:

maxnint, optional: Number of MA matrices to compute.
Pndarray, optional: Solved A^{-1}B coefficient matrix used to orthogonalize the MA representation. If not provided, it is computed from the estimated A and B matrices.

Returns:

ndarray: The structural MA coefficient matrices.