[SciPy-User] [SciPy-user] scipy.odr - Correct form of covx, covy matrix
Tue Feb 14 09:20:00 CST 2012
On 14.02.2012 15:55, firstname.lastname@example.org 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.
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