Other functions

is_PD(matrix: Array, tol: float = 1e-10) → bool

Check if a matrix is positive definite.

Parameters

matrixjnp.ndarray

The matrix to validate.

tolfloat, default 1e-10

Tolerance for symmetry check.

Returns

bool

True if the matrix is a valid covariance matrix.

shrink_estim(x, mse=True)

Shrinkage of the covariance matrix

Shrinkage of the covariance matrix according to Schafer and Strimmer (2005).

Parameters

x: ndarray

A numeric matrix containing the residuals.

mse: bool, default True

When True, residual moments are not mean-corrected (i.e., MSE rather than unbiased variance). When False, apply mean correction.

Returns

A shrunk covariance matrix.

References

• Schafer, J.L. and Strimmer, K. (2005), A shrinkage approach to large-scale covariance matrix estimation and implications for functional genomics, Statistical Applications in Genetics and Molecular Biology, 4, 1

See Also

tecov cscov