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statsmodels.stats.regularized_covariance.RegularizedInvCovariance.fit
statsmodels.stats.regularized_covariance.RegularizedInvCovariance.fit
¶
RegularizedInvCovariance.
fit
(
alpha
=
0
)
[source]
¶
estimates the regularized inverse covariance using nodewise regression
Parameters
alpha
scalar
Regularizing constant
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statsmodels.stats.regularized_covariance.RegularizedInvCovariance.fit