statsmodels.stats.regularized_covariance.RegularizedInvCovariance

class statsmodels.stats.regularized_covariance.RegularizedInvCovariance(exog)

Class for estimating regularized inverse covariance with nodewise regression

Parameters:

exogarray_like

A weighted design matrix for covariance.

Attributes:

exogarray_like

A weighted design matrix for covariance.

Methods

approx_inv_cov()	Returns the approximate inverse covariance matrix
fit([alpha])	Estimate the regularized inverse covariance using nodewise regression

Methods

approx_inv_cov()	Returns the approximate inverse covariance matrix
fit([alpha])	Estimate the regularized inverse covariance using nodewise regression