statsmodels.tsa.vector_ar.vecm.VECMResults.orth_ma_rep

VECMResults.orth_ma_rep(maxn=10, P=None)

Compute orthogonalized MA coefficient matrices.

For this purpose a matrix P is used which fulfills \(\Sigma_u = PP^\prime\). P defaults to the Cholesky decomposition of \(\Sigma_u\)

Parameters:

• maxn (int) – Number of coefficient matrices to compute
• P (ndarray (neqs x neqs), optional) – Matrix such that \(\Sigma_u = PP'\). Defaults to Cholesky decomposition.

Returns:

coefs

Return type:

ndarray (maxn x neqs x neqs)