FactoredPSDMatrix.decorrelate(rhs)
[source]
Decorrelate the columns of rhs
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Parameters: | rhs (array-like) – A 2 dimensional array with the same number of rows as the PSD matrix represented by the class instance. |
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Returns: |
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The returned matrix has the identity matrix as its row-wise population covariance matrix.
This function exploits the factor structure for efficiency.
© 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.decorrelate.html