linearmodels.system.gmm.HeteroskedasticWeightMatrix.sigma

HeteroskedasticWeightMatrix.sigma(eps: ndarray, x: Sequence[ndarray]) ndarray

Estimate residual covariance.

Parameters:
eps: ndarray

The residuals from the system of equations.

x: Sequence[ndarray]

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

Returns:

The estimated covariance matrix of the residuals.

Return type:

numpy.ndarray