statsmodels.tsa.vector_ar.var_model.VARProcess.orth_ma_rep

VARProcess.orth_ma_rep(maxn=10, P=None) [source]

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)