Compute Orthogonalized MA coefficient matrices using P matrix such that \Sigma_u = PP^\prime. P defaults to the Cholesky decomposition of \Sigma_u
maxn : int
Number of coefficient matrices to compute
P : ndarray (k x k), optional
Matrix such that Sigma_u = PP’, defaults to Cholesky descomp
coefs : ndarray (maxn x k x k)
sm.tsa.vector_ar.var_model.VARResults.mse
sm.tsa.vector_ar.var_model.VARResults.plot
Enter search terms or a module, class or function name.