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REF: handling of sigma in GLS #310

josef-pkt opened this Issue Jun 12, 2012 · 0 comments


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josef-pkt commented Jun 12, 2012

see #295 handling of scalar sigma

I think the right solution should avoid cholsigmainv for sigma.ndim 0 or 1

future: FGLS might need a different way to handle sigma, using (nobs,nobs) matrices is not very efficient
WLS and GLSAR avoids going through the sigma handling in GLS.init
but that should be a different issue

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