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
fit
([alpha])estimates the regularized inverse covariance using nodewise regression
Last update:
Dec 11, 2024