3.11.6.2.2. statsmodels.stats.correlation_tools.FactoredPSDMatrix¶
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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: diag : 1d array-like
See above
root : 2d array-like
See above
Notes
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.
3.11.6.2.2.1. Methods¶
__init__ (diag, root) |
|
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. |