SUR.whiten()

statsmodels.sandbox.sysreg.SUR.whiten

SUR.whiten(X) [source]

SUR whiten method.

Parameters:

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.

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.

© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.sandbox.sysreg.SUR.whiten.html