sigma_matrix {esreg}

Sigma Matrix

Description

Estimate the sigma matrix.

Usage

sigma_matrix(object, sigma_est, misspec)

Arguments

object

An esreg object

sigma_est

The estimator to be used for \Sigma, see conditional_truncated_variance

• ind - Variance over all negative residuals

• scl_N - Scaling with the normal distribution

• scl_sp - Scaling with the kernel density function

misspec

if TRUE, the estimator accounts for potential misspecification in the model