Created
June 27, 2013 14:40
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| def partial_correlation_via_inverse(X): | |
| model = GraphLassoCV() | |
| model.fit(X) | |
| prec_ = model.precision_ | |
| return -cov2corr( model.precision_ ) ) | |
| def cov2corr( A ): | |
| """ | |
| covariance matrix to correlation matrix. | |
| """ | |
| d = np.sqrt(A.diagonal()) | |
| A = ((A.T/d).T)/d | |
| return A |
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this looks good.