statsmodels.genmod.cov_struct.Independence.covariance_matrix_solve
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Independence.covariance_matrix_solve(expval, index, stdev, rhs)
[source] -
Solves matrix equations of the form
covmat * soln = rhs
and returns the values ofsoln
, wherecovmat
is the covariance matrix represented by this class.Parameters: expval: array-like :
The expected value of endog for each observed value in the group.
index: integer :
The group index.
stdev : array-like
The standard deviation of endog for each observation in the group.
rhs : list/tuple of array-like
A set of right-hand sides; each defines a matrix equation to be solved.
Returns: soln : list/tuple of array-like
The solutions to the matrix equations.
Notes
Returns None if the solver fails.
Some dependence structures do not use
expval
and/orindex
to determine the correlation matrix. Some families (e.g. binomial) do not use thestdev
parameter when forming the covariance matrix.If the covariance matrix is singular or not SPD, it is projected to the nearest such matrix. These projection events are recorded in the fit_history member of the GEE model.
Systems of linear equations with the covariance matrix as the left hand side (LHS) are solved for different right hand sides (RHS); the LHS is only factorized once to save time.
This is a default implementation, it can be reimplemented in subclasses to optimize the linear algebra according to the struture of the covariance matrix.
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