[SciPy-User] [SciPy-user] scipy.odr - Correct form of covx, covy matrix

Sturla Molden sturla@molden...
Tue Feb 14 09:20:00 CST 2012


On 14.02.2012 15:55, josef.pktd@gmail.com wrote:

>>   from scipy import linalg
>>
>>   cho = linalg.cho_factor(V)
>>   Ac = linalg.cho_solve(cho, A)
>>   bc = linalg.cho_solve(cho, b)
>>   x = linalg.solve(Ac, bc)
>
> That's pretty much what statsmodels GLS does. The transformed
> variables have a w prefix, wendog, wexog, wresid
>
> I don't think we have many examples with the full sized (nobs, nobs) V matrix.

Why not call lapack DGGGLM? It does the same, except with QR.

It could e.g. be exposed as sp.linalg.glstsq.


Sturla


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