Logo

statsmodels.tsa.vector_ar.var_model.VARResults.detomega

static VARResults.detomega()[source]

Return determinant of white noise covariance with degrees of freedom correction:

\hat \Omega = \frac{T}{T - Kp - 1} \hat \Omega_{\mathrm{MLE}}

Previous topic

statsmodels.tsa.vector_ar.var_model.VARResults.cov_ybar

Next topic

statsmodels.tsa.vector_ar.var_model.VARResults.fevd

This Page