Figure 2.

Checking second level dependence. Left: estimates of $\sqrt{v_p^{\text{crude}}}$ versus ${\delta }_p^{\text{crude}}$; Right: estimates of $\sqrt{v_p^{\text{calibr}}}$ versus ${\delta }_p^{\text{calibr}}$, where $v_p^{\text{calibr}}$ are the diagonal elements of ${\Sigma }_{{\widehat{\delta }}^{\text{calibr}}}$.