statsmodels.tsa.vector_ar.vecm.VECMResults.orth_ma_rep¶
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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 \(\Sigma_u\)
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 : ndarray (maxn x neqs x neqs)