statsmodels.stats.correlation_tools.FactoredPSDMatrix¶

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 arraylike) – See above
 root (2d arraylike) – 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.
Methods
decorrelate
(rhs)Decorrelate the columns of rhs. logdet
()Returns the logarithm of the determinant of a factorstructured matrix. solve
(rhs)Solve a linear system of equations with factorstructured coefficients. to_matrix
()Returns the PSD matrix represented by this instance as a full (square) matrix.