6.11.8.1.2. statsmodels.sandbox.tsa.varma.VARMA

statsmodels.sandbox.tsa.varma.VARMA(x, B, C, const=0)

multivariate linear filter

x (TxK) B (PxKxK)

xhat(t,i) = sum{_p}sum{_k} { x(t-P:t,:) .* B(:,:,i) } +

sum{_q}sum{_k} { e(t-Q:t,:) .* C(:,:,i) }for all i = 0,K-1