class linearmodels.asset_pricing.covariance.HeteroskedasticCovariance(xe: ndarray, *, jacobian: ndarray | None =
None, inv_jacobian: ndarray | None =
None, center: bool =
True, debiased: bool =
False, df: int =
Heteroskedasticity robust covariance estimator
- xe: ndarray¶
- jacobian: ndarray | None =
Jacobian. One and only one of jacobian and inv_jacobian must be provided
- inv_jacobian: ndarray | None =
Inverse jacobian. One and only one of jacobian and inv_jacobian must be provided. Default is None.
- center: bool =
Flag indicating to center the scores when computing the covariance. Default is true.
- debiased: bool =
Flag indicating to use a debiased estimator. Default is False.
- df: int =
Degree of freedom value ot use if debiasing. Default is 0.
Compute parameter covariance
Score/moment condition covariance
Flag indicating if jacobian is square