linearmodels.system.gmm.HeteroskedasticWeightMatrix.sigma¶ HeteroskedasticWeightMatrix.sigma(eps, x)¶ Estimate residual covariance. Parameters: epsndarrayThe residuals from the system of equations. xlist[ndarray]A list of the regressor matrices for each equation in the system. Returns: ndarrayThe estimated covariance matrix of the residuals. Return type: ndarray