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statsmodels 0.14.4

statsmodels.tsa.vector_ar.var_model.VARResults.detomega

v0.14.4
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statsmodels.tsa.vector_ar.var_model.VARResults.detomega¶

VARResults.detomega¶: Return determinant of white noise covariance with degrees of freedom correction:

$\hat{Ω} = \frac{T}{T - K p - 1} {\hat{Ω}}_{MLE}$

Last update: Oct 03, 2024