linearmodels.system.gmm.KernelWeightMatrix.sigma

KernelWeightMatrix.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