statsmodels.tsa.vector_ar.var_model.VARResults.orth_ma_rep¶

VARResults.orth_ma_rep(maxn=10, P=None)¶

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)