While Implementing Varmax Model In Python, The Error Comes That Leading Minor Is Not Positive Definite

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 defi

Solution 1:

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.