statsmodels.stats.correlation_tools.FactoredPSDMatrix¶

class
statsmodels.stats.correlation_tools.
FactoredPSDMatrix
(diag, root)[source]¶ Representation of a positive semidefinite matrix in factored form.
The representation is constructed based on a vector diag and rectangular matrix root, such that the PSD matrix represented by the class instance is Diag + root * root’, where Diag is the square diagonal matrix with diag on its main diagonal.
 Parameters
 diag1d arraylike
See above
 root2d arraylike
See above
Notes
The matrix is represented internally in the form Diag^{1/2}(I + factor * scales * factor’)Diag^{1/2}, where Diag and scales are diagonal matrices, and factor is an orthogonal matrix.
Methods
decorrelate
(rhs)Decorrelate the columns of rhs.
logdet
()Returns the logarithm of the determinant of a factorstructured matrix.
solve
(rhs)Solve a linear system of equations with factorstructured coefficients.
Returns the PSD matrix represented by this instance as a full (square) matrix.