statsmodels.stats.correlation_tools.FactoredPSDMatrix.solve¶
- FactoredPSDMatrix.solve(rhs)[source]¶
Solve a linear system of equations with factor-structured coefficients.
- Parameters:¶
- rhsarray_like
A 2 dimensional array with the same number of rows as the PSD matrix represented by the class instance.
- Returns:¶
- C^{-1} *
rhs
,where
C
is
the
covariance
matrix
represented
by
this
class
instance.
- C^{-1} *
Notes
This function exploits the factor structure for efficiency.
Last update:
Oct 29, 2024