Python duplication_matrix Examples

Example #1

File: var_model.py Project: chrisjordansquire/statsmodels

    def _cov_sigma(self):
        """
        Estimated covariance matrix of vech(sigma_u)
        """
        D_K = tsa.duplication_matrix(self.neqs)
        D_Kinv = npl.pinv(D_K)

        sigxsig = np.kron(self.sigma_u, self.sigma_u)
        return 2 * chain_dot(D_Kinv, sigxsig, D_Kinv.T)

Example #2

    def _cov_sigma(self):
        """
        Estimated covariance matrix of vech(sigma_u)
        """
        D_K = tsa.duplication_matrix(self.neqs)
        D_Kinv = npl.pinv(D_K)

        sigxsig = np.kron(self.sigma_u, self.sigma_u)
        return 2 * chain_dot(D_Kinv, sigxsig, D_Kinv.T)

Example #3

File: test_tsa_tools.py Project: zed/statsmodels

def test_duplication_matrix():
    for k in range(2, 10):
        m = tools.unvech(np.random.randn(k * (k + 1) / 2))
        Dk = tools.duplication_matrix(k)
        assert(np.array_equal(vec(m), np.dot(Dk, vech(m))))