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Module « scipy.stats »

Classe « Covariance »

Informations générales

Héritage

builtins.object
    Covariance

Définition

class Covariance(builtins.object):

help(Covariance)

Representation of a covariance matrix

Calculations involving covariance matrices (e.g. data whitening,
multivariate normal function evaluation) are often performed more
efficiently using a decomposition of the covariance matrix instead of the
covariance matrix itself. This class allows the user to construct an
object representing a covariance matrix using any of several
decompositions and perform calculations using a common interface.

.. note::

    The `Covariance` class cannot be instantiated directly. Instead, use
    one of the factory methods (e.g. `Covariance.from_diagonal`).

Examples
--------
The `Covariance` class is used by calling one of its
factory methods to create a `Covariance` object, then pass that
representation of the `Covariance` matrix as a shape parameter of a
multivariate distribution.

For instance, the multivariate normal distribution can accept an array
representing a covariance matrix:

>>> from scipy import stats
>>> import numpy as np
>>> d = [1, 2, 3]
>>> A = np.diag(d)  # a diagonal covariance matrix
>>> x = [4, -2, 5]  # a point of interest
>>> dist = stats.multivariate_normal(mean=[0, 0, 0], cov=A)
>>> dist.pdf(x)
4.9595685102808205e-08

but the calculations are performed in a very generic way that does not
take advantage of any special properties of the covariance matrix. Because
our covariance matrix is diagonal, we can use ``Covariance.from_diagonal``
to create an object representing the covariance matrix, and
`multivariate_normal` can use this to compute the probability density
function more efficiently.

>>> cov = stats.Covariance.from_diagonal(d)
>>> dist = stats.multivariate_normal(mean=[0, 0, 0], cov=cov)
>>> dist.pdf(x)
4.9595685102808205e-08

Constructeur(s)

Signature du constructeur	Description
__init__(self)

Liste des opérateurs

Opérateurs hérités de la classe object

__eq__, __ge__, __gt__, __le__, __lt__, __ne__

Méthodes héritées de la classe object

__delattr__, __dir__, __format__, __getattribute__, __getstate__, __hash__, __init_subclass__, __reduce__, __reduce_ex__, __repr__, __setattr__, __sizeof__, __str__, __subclasshook__

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