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I am working on time series VARMAX model in python with 18000 rows of data and 6 parameters. Repeatedly while fitting the VARMAX model, it says " leading minor is not positive definite" or "matrix is not positive definite". Can somebody help in recognizing the problem?

sonakshi garg
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1 Answers1

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The error suggests that there are linear dependencies among your variables. You can investigate these linear relationships using the correlation matrix df.corr() and/or PCA.

Mehdi-EL
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