statsmodels.stats.regularized_covariance.RegularizedInvCovariance¶
- class statsmodels.stats.regularized_covariance.RegularizedInvCovariance(exog)[source]¶
Class for estimating regularized inverse covariance with nodewise regression
- Parameters:
exog (array_like) – A weighted design matrix for covariance
- exog¶
A weighted design matrix for covariance
- Type:
array_like
- alpha¶
Regularizing constant
- Type:
scalar
Methods
fit([alpha])estimates the regularized inverse covariance using nodewise regression
