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: |
|
---|---|
Returns: |
coefs |
Return type: |
ndarray (maxn x k x k) |
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© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.tsa.vector_ar.var_model.VARResults.orth_ma_rep.html