BVARSVResult._replication_noise

BVARSVResult._replication_noise(draw, rng)

Innovations under the draw’s own in-sample volatility path.

A replication conditions on the draw’s log-variance path h_t rather 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.

Return type:

NDArray[double]