statsmodels.stats.regularized_covariance.RegularizedInvCovariance

class statsmodels.stats.regularized_covariance.RegularizedInvCovariance(exog)[source]

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

alphascalar

Regularizing constant

Methods

approx_inv_cov()

fit([alpha])

estimates the regularized inverse covariance using nodewise regression