Compute orthogonalized MA coefficient matrices.
For this purpose a matrix P is used which fulfills
\(\Sigma_u = PP^\prime\). P defaults to the Cholesky
decomposition of \(\Sigma_u\)
- Parameters:
- maxn
int
Number of coefficient matrices to compute
- P
ndarray
(neqs
x
neqs
), optional
Matrix such that \(\Sigma_u = PP'\). Defaults to Cholesky
decomposition.
- Returns:
- coefs
ndarray
(maxn
x
neqs
x
neqs
)