covariance.py 文件源码

def _gls_cov(self):
        x = self._x
        sigma = self._sigma
        sigma_inv = inv(sigma)

        xpx = blocked_inner_prod(x, sigma_inv)
        # Handles case where sigma_inv is not inverse of full_sigma
        xeex = blocked_inner_prod(x, sigma_inv @ self._full_sigma @ sigma_inv)
        if self._constraints is None:
            xpxi = inv(xpx)
            cov = xpxi @ xeex @ xpxi
        else:
            cons = self._constraints
            xpx = cons.t.T @ xpx @ cons.t
            xpxi = inv(xpx)
            xeex = cons.t.T @ xeex @ cons.t
            cov = cons.t @ (xpxi @ xeex @ xpxi) @ cons.t.T

        cov = (cov + cov.T) / 2
        return cov