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
- maxn
- Returns:
- coefs
ndarray
(maxn
x
k
x
k
)
- coefs