6.3.9.6.2.1.7. statsmodels.sandbox.distributions.mv_normal.MVElliptical.normalize

MVElliptical.normalize(x)

normalize the random variable, i.e. subtract mean and rescale

The distribution will have zero mean and sigma equal to correlation

Parameters:

x : array-like, 1d or 2d

Data to be whitened, if 2d then each row contains an independent sample of the multivariate random vector

Returns:

(x - self.mean)/std_sigma

See also

whiten

rescale random variable, standardize without subtracting mean.