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ENH: Avoid taking cholesky decomposition of diagonal matrix #508

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Oct 5, 2012
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ENH: Avoid taking cholesky decomposition of diagonal matrix #508

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8 changes: 5 additions & 3 deletions statsmodels/regression/linear_model.py
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Original file line number Diff line number Diff line change
Expand Up @@ -53,16 +53,18 @@ def _get_sigma(sigma, nobs):
if sigma is None:
return None, None
sigma = np.asarray(sigma).squeeze()
if sigma.ndim == 0:
sigma = np.repeat(sigma, nobs)
if sigma.ndim == 1:
cholsigmainv = np.diag(1/sigma**.5)
sigma = np.diag(sigma)
elif sigma.ndim == 0:
sigma = np.diag([sigma] * nobs)
else:
cholsigmainv = np.linalg.cholesky(np.linalg.pinv(sigma)).T

if sigma.shape != (nobs, nobs):
raise ValueError("Sigma must be a scalar, 1d of length %s or a 2d "
"array of shape %s x %s" % (nobs, nobs))

cholsigmainv = np.linalg.cholesky(np.linalg.pinv(sigma)).T
return sigma, cholsigmainv

class RegressionModel(base.LikelihoodModel):
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