class statsmodels.stats.correlation_tools.FactoredPSDMatrix(diag, root)
[source]
Representation of a positive semidefinite matrix in factored form.
The representation is constructed based on a vector diag
and rectangular matrix root
, such that the PSD matrix represented by the class instance is Diag + root * root’, where Diag is the square diagonal matrix with diag
on its main diagonal.
Parameters: |
|
---|
The matrix is represented internally in the form Diag^{1/2}(I + factor * scales * factor’)Diag^{1/2}, where Diag
and scales
are diagonal matrices, and factor
is an orthogonal matrix.
decorrelate (rhs) | Decorrelate the columns of rhs . |
logdet () | Returns the logarithm of the determinant of a factor-structured matrix. |
solve (rhs) | Solve a linear system of equations with factor-structured coefficients. |
to_matrix () | Returns the PSD matrix represented by this instance as a full (square) matrix. |
© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.stats.correlation_tools.FactoredPSDMatrix.html