statsmodels.stats.regularized_covariance.RegularizedInvCovariance

class statsmodels.stats.regularized_covariance.RegularizedInvCovariance(exog)

Class for estimating regularized inverse covariance with nodewise regression

Parameters:

exogarray_like

A weighted design matrix for covariance

Attributes:

exogarray_like

A weighted design matrix for covariance

alphascalar

Regularizing constant

Methods

approx_inv_cov()
fit([alpha])	estimates the regularized inverse covariance using nodewise regression