VARProcess.orth_ma_rep()

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:

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)

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)

© 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.tsa.vector_ar.var_model.VARProcess.orth_ma_rep.html