property CFASimulationSmoother.posterior_cov_inv_chol_sparse

Sparse Cholesky factor of inverse posterior covariance matrix


This attribute holds in sparse diagonal banded storage the Cholesky factor of the inverse of the posterior covariance matrix. If we denote \(P = Var[\alpha \mid Y^n ]\), then the this attribute holds the lower Cholesky factor \(L\), defined from \(L L' = P^{-1}\). This attribute uses the sparse diagonal banded storage described in the documentation of, for example, the SciPy function scipy.linalg.solveh_banded.

Last update: Dec 14, 2023