statsmodels.tsa.vector_ar.var_model.VARProcess.intercept_longrun

VARProcess.intercept_longrun() [source]

Long run intercept of stable VAR process

Lütkepohl eq. 2.1.23

\[\mu = (I - A_1 - \dots - A_p)^{-1} \alpha\]

where alpha is the intercept (parameter of the constant)

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© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.tsa.vector_ar.var_model.VARProcess.intercept_longrun.html