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:

maxnint

Number of coefficient matrices to compute

Pndarray (neqs x neqs), optional

Matrix such that \(\Sigma_u = PP'\). Defaults to Cholesky decomposition.

Returns:

coefsndarray (maxn x neqs x neqs)