// Assume model has 16 observations (will use Longley data). Start by generating
// non-constant variances for the 16 error terms.
final int nObs = 16;
double[] sigma = new double[nObs];
for (int i = 0; i < nObs; i++) {
sigma[i] = 10 * rg.nextDouble();
}
// Now generate 1000 error vectors to use to estimate the covariance matrix
// Columns are draws on N(0, sigma[col])
final int numSeeds = 1000;