statsmodels.sandbox.sysreg.SUR.whiten

SUR.whiten(X) [source]

SUR whiten method.

Parameters:	X (list of arrays) – Data to be whitened.
Returns:	If X is the exogenous RHS of the system. np.dot(np.kron(cholsigmainv,np.eye(M)),np.diag(X)) If X is the endogenous LHS of the system.