studykde.py 文件源码

def eigenvalueconstraint(params):
    sd1 = params[0]
    sd2 = params[1]
    cor = params[2]
    bandwidth = maths.stats.choleskysqrt2d(sd1, sd2, cor)
    bandwidthsq = bandwidth.dot(bandwidth.T)
    return -np.min(la.eigvals(bandwidthsq))