linearmodels.system.gmm.HeteroskedasticWeightMatrix.sigma¶

HeteroskedasticWeightMatrix.sigma(eps: ndarray[Any, dtype[float64]], x: Sequence[ndarray[Any, dtype[float64]]]) → ndarray[Any, dtype[float64]]¶

Estimate residual covariance.

Parameters:¶

eps: ndarray[Any, dtype[float64]]¶

The residuals from the system of equations.

x: Sequence[ndarray[Any, dtype[float64]]]¶

A list of the regressor matrices for each equation in the system.

Returns:¶

The estimated covariance matrix of the residuals.

Return type:¶

numpy.ndarray