linearmodels.shared.covariance.cov_cluster¶

linearmodels.shared.covariance.cov_cluster(z: ndarray[tuple[int, ...], dtype[float64]], clusters: ndarray[tuple[int, ...], Any]) → ndarray[tuple[int, ...], dtype[float64]][source]¶

Core cluster covariance estimator

Parameters:¶

z: ndarray[tuple[int, ...], dtype[float64]]¶

n by k mean zero data array

clusters: ndarray[tuple[int, ...], Any]¶

n by 1 array

Returns:¶

k by k cluster asymptotic covariance

Return type:¶

numpy.ndarray