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 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.

Methods

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.