fips.covariance.KroneckerError.build

KroneckerError.build(index, **kwargs)

Build covariance matrix using product of marginal kernels.

Parameters:

• index (pd.MultiIndex) – The MultiIndex of the covariance matrix, which must contain the dimensions specified in marginal_kernels in the same order.

• **kwargs – Additional keyword arguments that may be needed by the kernel functions.

Returns:

The constructed covariance matrix with the given index on both rows and columns.

Return type:

pd.DataFrame