`scipy.stats._qmvnt:_permuted_cholesky`

source: /scipy/stats/_qmvnt.py :354

Signature

def _permuted_cholesky ( covar , low , high , tol = 1e-10 )

Summary

Compute a scaled, permuted Cholesky factor, with integration bounds.

Extended Summary

The scaling and permuting of the dimensions accomplishes part of the transformation of the original integration problem into a more numerically tractable form. The lower-triangular Cholesky factor will then be used in the subsequent integration. The integration bounds will be scaled and permuted as well.

Parameters

covar : (n, n) float array: Possibly singular, positive semidefinite symmetric covariance matrix.
low, high : (n,) float array: The low and high integration bounds.
tol : float, optional: The singularity tolerance.

Returns

cho : (n, n) float array: Lower Cholesky factor, scaled and permuted.
new_low, new_high : (n,) float array: The scaled and permuted low and high integration bounds.

Aliases

scipy.stats._qmvnt._permuted_cholesky