statsmodels.stats.correlation_tools.FactoredPSDMatrix.decorrelate

FactoredPSDMatrix.decorrelate(rhs)

Decorrelate the columns of rhs.

Parameters:

rhs : array-like

A 2 dimensional array with the same number of rows as the PSD matrix represented by the class instance.

Returns:

C^{-1/2} * rhs, where C is the covariance matrix represented

by this class instance.

Notes

The returned matrix has the identity matrix as its row-wise population covariance matrix.

This function exploits the factor structure for efficiency.