4.8.10.1.8. statsmodels.tsa.varma_process.varinversefilter

statsmodels.tsa.varma_process.varinversefilter(ar, nobs, version=1)

creates inverse ar filter (MA representation) recursively

The VAR lag polynomial is defined by

ar(L) y_t = u_t  or
y_t = -ar_{-1}(L) y_{t-1} + u_t

the returned lagpolynomial is arinv(L)=ar^{-1}(L) in

y_t = arinv(L) u_t

Parameters:

ar : array, (nlags,nvars,nvars)

matrix lagpolynomial, currently no exog first row should be identity

Returns:

arinv : array, (nobs,nvars,nvars)