covariance.py 文件源码

def cov(self):
        """Covariance of estimated parameters"""

        x, z = self.x, self.z
        nobs, nvar = x.shape

        pinvz = self._pinvz
        v = (x.T @ z) @ (pinvz @ x) / nobs
        if self._kappa != 1:
            kappa = self._kappa
            xpx = x.T @ x / nobs
            v = (1 - kappa) * xpx + kappa * v

        vinv = inv(v)
        c = vinv @ self.s @ vinv / nobs
        return (c + c.T) / 2