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 \(\Sigma_u\)
Last update:
Jun 10, 2024