RealMatrix Namespace Reference

Classes
class	Matrix
class	SignedLogDet

Functions
Matrix	eye (int n)
Matrix	nearest_psd (Union[Matrix, NestedList] R, float thr=1e-12)
Matrix	cholesky_L (Union[Matrix, NestedList] R)

Detailed Description

Dense real-matrix utilities backed by the C++ ``RealMatrix`` type.

This module provides a Python-friendly wrapper around the C++ dense matrix
implementation used throughout the statistics and copula stack. Inputs and
outputs are converted to native Python containers, while heavy linear-algebra
operations are delegated to the C++ backend.

Function Documentation

cholesky_L()

Matrix RealMatrix.cholesky_L

(

Union[Matrix, NestedList]

R

)

Compute the lower Cholesky factor of a matrix.

Args:
    R: Input symmetric positive-semidefinite matrix.

Returns:
    Matrix: Lower triangular Cholesky factor as returned by C++.

Definition at line 264 of file RealMatrix.py.

eye()

Matrix RealMatrix.eye

(

int

n

)

Create an identity matrix.

Args:
    n: Matrix dimension.

Returns:
    Matrix: ``n x n`` identity matrix.

Definition at line 231 of file RealMatrix.py.

nearest_psd()

Matrix RealMatrix.nearest_psd	(	Union[Matrix, NestedList]	R,
		float	thr = 1e-12
	)

Project a matrix to the nearest positive semidefinite matrix.

This helper is used by copula construction to regularize correlation
matrices before decomposition.

Args:
    R: Input matrix or nested list.
    thr: Numerical threshold used by the C++ routine.

Returns:
    Matrix: Regularized positive-semidefinite matrix.

Definition at line 243 of file RealMatrix.py.