statsmodels.stats.correlation_tools.FactoredPSDMatrix.decorrelate¶
-
FactoredPSDMatrix.
decorrelate
(rhs)[source]¶ Decorrelate the columns of rhs.
- Parameters
- rhsarray_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.
- C^{-1/2} *
Notes
The returned matrix has the identity matrix as its row-wise population covariance matrix.
This function exploits the factor structure for efficiency.