4.1.9.1.1.1.3. statsmodels.base._penalties.CovariancePenalty.grad

CovariancePenalty.grad(mat, mat_inv)

Parameters:

mat : square matrix

The matrix to be penalized.

mat_inv : square matrix

The inverse of mat.

Returns:

A vector containing the gradient of the penalty

with respect to each element in the lower triangle

of mat.