fips.covariance.CovarianceBuilder.build#

CovarianceBuilder.build(index, sparse=False, **kwargs)[source]#

Build and sum all error components into a single DataFrame.

Parameters:

  • index (pd.MultiIndex) – The state/observation index to build the covariance over.

  • sparse (bool, default False) – If True, return a pandas sparse DataFrame. Apply threshold zeroing in each ErrorComponent.build() before using this option.

Return type:

DataFrame

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