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

Return type:

ndarray (maxn x k x k)