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static VARResults.detomega()

statsmodels.tsa.vector_ar.var_model.VARResults.detomega

static VARResults.detomega() [source]: Return determinant of white noise covariance with degrees of freedom correction:

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

Links:

http://statsmodels.sourceforge.net/stable/generated/statsmodels.tsa.vector_ar.var_model.VARResults.detomega.html

doc_statsmodels

2025-01-10 15:47:30

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