BVARResult.sigma_draws

BVARResult.sigma_draws: NDArray[float64]

(S, k, k) independent posterior draws of the innovation covariance.

Draw s is \(\Sigma^{(s)} \sim \mathcal{IW}(\bar S, \bar\nu)\) and pairs with beta_draws[s]; propagating methods use the two together, so a draw’s impulse responses or forecast paths are computed under its own covariance. Each slice is symmetric positive definite.