statsmodels.tsa.vector_ar.vecm.VECMResults.orth_ma_rep¶
- VECMResults.orth_ma_rep(maxn=10, P=None)[source]¶
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 \(\Sigma_u\)
Last update:
Jun 10, 2024