statsmodels.stats.regularized_covariance.RegularizedInvCovariance¶

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

Class for estimating regularized inverse covariance with nodewise regression

Parameters:¶

exog : array_like¶

A weighted design matrix for covariance

exog¶

A weighted design matrix for covariance

Type:¶

array_like

alpha¶

Regularizing constant

Type:¶

scalar

Methods

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