statsmodels.stats.correlation_tools.FactoredPSDMatrix.solve¶

FactoredPSDMatrix.solve(rhs)[source]¶

Solve a linear system of equations with factor-structured coefficients.

Parameters:¶

rhs : array_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.

Notes

This function exploits the factor structure for efficiency.