TVARResult._regime_sigma#

TVARResult._regime_sigma(regime)[source]#

The named regime’s own innovation covariance.

Parameters:

regime (Literal['lower', 'upper']) – "lower" or "upper".

Return type:

NDArray[double]

Returns:

lower_sigma_u or upper_sigma_u.

Raises:

SpecificationError – If regime is neither name.

Example

>>> import numpy as np
>>> y = np.random.default_rng(0).standard_normal((200, 2))
>>> res = TVAR(y, order=1, transition_variable="y1", delay=1).fit()
>>> res._regime_sigma("upper") is res.upper_sigma_u
True
>>> res._regime_sigma("middle")
Traceback (most recent call last):
cultivars.exceptions.SpecificationError: regime must be one of ('lower', 'upper'); ...