jexplore.tools.covariance#
This modules provides the Basic functions for covariance computation.
Functions#
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Compute the covariance from a set of samples |
Module Contents#
- compute_cov(samples, covs=None, cholesky=True, default=0.001)[source]#
Compute the covariance from a set of samples
- Parameters:
samples (array) – array of the past samples (nchains, dim, npoints).
covs (array) – (nchain, dim, dim) array bearing one covariance matrices of all chains. Default: None, i.e. the covariance matrices are computed from samples.
cholesky (bool) – if true returns the array of lower triangular matrices resulting from cholesky decomposition of the convariance matrices of all chains. Otherwise it returns the array of the covariance matrices. Default: True.
default (float) – if covs is none and the samples only have 1 point the function will return a constant diagonal covariance for all chains. This parameters provides the value for the covariance diagonal terms in this case. Defaut: 1e-3.
- Returns:
array of the covariance matricaes of the chains or of their cholesky lower triangular matrices.
- Return type:
array