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])Estimate the regularized inverse covariance using nodewise regression
approx_inv_cov
Methods
fit([alpha])Estimate the regularized inverse covariance using nodewise regression