Use model variables named "sigma" as standard deviations rather than variances #296
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jessegrabowski
changed the title
…equivalent_statsmodel` test function
ricardoV94
approved these changes
Jan 7, 2024
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Closes #295
Variables named "sigma" in structural models, as well as SARIMAX, were being directly inserted into the state/observation covariance matrix as-is. This implies they are variances, while the name "sigma" suggests they are standard deviations.
This PR squares parameters named "sigma" before inserting them into the appropriate covariance matrices to avoid surprising users due to incorrect naming convention.