Residual covariance matrix.
Displays the covariances of the residuals from each equation in the sspace object. The sspace object residuals used in the calculation are the standardized, one-step ahead signal forecast errors.
Syntax
sspace_name.residcov(options)
Options
p | Print the covariance matrix. |
Examples
ss1.residcov
displays the residual covariance matrix of SS1.
Cross-references