covariance.py 文件源码

def covariances_EP(X, P, estimator='cov'):
    est = _check_est(estimator)
    Nt, Ne, Ns = X.shape
    Np, Ns = P.shape
    covmats = numpy.zeros((Nt, Ne + Np, Ne + Np))
    for i in range(Nt):
        covmats[i, :, :] = est(numpy.concatenate((P, X[i, :, :]), axis=0))
    return covmats