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SUR.whiten()

statsmodels.sandbox.sysreg.SUR.whiten

SUR.whiten(X) [source]

SUR whiten method.

Parameters:

X : list of arrays

Data to be whitened.

Returns:

If X is the exogenous RHS of the system. :

``np.dot(np.kron(cholsigmainv,np.eye(M)),np.diag(X))`` :

If X is the endogenous LHS of the system. :

Links:

http://statsmodels.sourceforge.net/stable/generated/statsmodels.sandbox.sysreg.SUR.whiten.html

doc_statsmodels

2017-01-18 16:20:04

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