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VARResults.orth_ma_rep()

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

Returns:

coefs : ndarray (maxn x k x k)

Links:

http://statsmodels.sourceforge.net/stable/generated/statsmodels.tsa.vector_ar.var_model.VARResults.orth_ma_rep.html

doc_statsmodels

2017-01-18 16:21:58

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