linearcorex.py 文件源码

def get_covariance(self):
        # This uses E(Xi|Y) formula for non-synergistic relationships
        m = self.moments
        if self.discourage_overlap:
            z = m['rhoinvrho'] / (1 + m['Si'])
            cov = np.dot(z.T, z)
            cov /= (1. - self.eps**2)
            np.fill_diagonal(cov, 1)
            return self.theta[1][:, np.newaxis] * self.theta[1] * cov
        else:
            cov = np.einsum('ij,kj->ik', m["X_i Z_j"], m["X_i Y_j"])
            np.fill_diagonal(cov, 1)
            return self.theta[1][:, np.newaxis] * self.theta[1] * cov