statsmodels.stats.correlation_tools.FactoredPSDMatrix.solve

FactoredPSDMatrix.solve(rhs)

Solve a linear system of equations with factor-structured coefficients.

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} * rhs, where C is the covariance matrix represented
• by this class instance.

Notes

This function exploits the factor structure for efficiency.