STVARResult._regime_sigma

STVARResult._regime_sigma(regime)

The common innovation covariance, whichever regime is named.

Parameters:

regime (Literal['lower', 'upper']) – "lower" or "upper"; ignored, since the smooth model estimates one covariance.

Return type:

NDArray[double]

Returns:

sigma_u.

Example

>>> import numpy as np
>>> y = np.random.default_rng(0).standard_normal((200, 2))
>>> res = STVAR(y, order=1, transition_variable="y1").fit()
>>> res._regime_sigma("lower") is res._regime_sigma("upper") is res.sigma_u
True