VARResult.ma_representation#

VARResult.ma_representation(horizon=20)[source]#

Moving-average matrices Psi_0, ..., Psi_horizon.

Computed as J C^h J' from the companion rather than by the recursion Psi_h = sum_i A_i Psi_{h-i}. The two agree to machine precision, and the companion form generalizes without change to any member of the family that can produce a companion matrix.

Parameters:

horizon (int) – Largest lead to return.

Return type:

NDArray[double]

Returns:

An array of shape (horizon + 1, k, k) with Psi_0 = I.

Raises:

SpecificationError – If horizon is negative.