BVARSVResult._replication_noise#
- BVARSVResult._replication_noise(draw, rng)[source]#
Innovations under the draw’s own in-sample volatility path.
A replication conditions on the draw’s log-variance path
h_trather than simulating a fresh random walk: the walk has no stationary distribution to start from, and what the check asks is whether the dynamics reproduce the data given a volatility history the posterior finds plausible.