fips.covariance.BlockDecayError

class fips.covariance.BlockDecayError(name, variances, groupers, corr_func)

Error component with block-structured correlation decay.

Attributes

groupers	List of groupers to use for block structure.
corr_func	Function that takes a DataFrame group and returns a correlation matrix for that block.
name	Name of the error component.
variances	Variances for the diagonal of the covariance matrix.

Methods

build(index[, n_jobs])

Build block-structured covariance matrix with correlation decay.