3.11.6. statsmodels.stats.correlation_tools¶
Created on Fri Aug 17 13:10:52 2012
Author: Josef Perktold License: BSD-3
3.11.6.1. Functions¶
clip_evals(x[, value]) |
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corr_clipped(corr[, threshold]) |
Find a near correlation matrix that is positive semi-definite |
corr_nearest(corr[, threshold, n_fact]) |
Find the nearest correlation matrix that is positive semi-definite. |
corr_nearest_factor(corr, rank[, ctol, ...]) |
Find the nearest correlation matrix with factor structure to a given square matrix. |
corr_thresholded(data[, minabs, max_elt]) |
Construct a sparse matrix containing the thresholded row-wise correlation matrix from a data array. |
cov_nearest(cov[, method, threshold, ...]) |
Find the nearest covariance matrix that is postive (semi-) definite |
cov_nearest_factor_homog(cov, rank) |
Approximate an arbitrary square matrix with a factor-structured matrix of the form k*I + XX’. |
3.11.6.2. Classes¶
Bunch(**kwargs) |
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FactoredPSDMatrix(diag, root) |
Representation of a positive semidefinite matrix in factored form. |