statsmodels.stats.regularized_covariance.RegularizedInvCovariance#

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

Class for estimating regularized inverse covariance with nodewise regression

Parameters:
exogndarray

A weighted design matrix for covariance.

Attributes:
exogndarray

A weighted design matrix for covariance.

Methods

approx_inv_cov()

Returns the approximate inverse covariance matrix

fit([alpha])

Estimate the regularized inverse covariance using nodewise regression

Methods

approx_inv_cov()

Returns the approximate inverse covariance matrix

fit([alpha])

Estimate the regularized inverse covariance using nodewise regression