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?
While implementing VARMAX model in python, the error comes that leading minor is not positive definite
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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.