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Covariance regularization #321

Merged
merged 13 commits into from
Feb 11, 2023
Merged

Covariance regularization #321

merged 13 commits into from
Feb 11, 2023

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CommonClimate
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addresses #312 by ensuring positive semi-definite eigenvalues. The choice of shrinkage factor is a bit of a hack because the number of DOFs in this case was approximated as the number of positive eigenvalues. SSA reconstruction works with a tiny bit of eigenvalue filtering (Kaiser criterion in this case), but for a robust ssa_interp() method we'll need a more general choice of truncation and shrinkage factor for the covariance matrix. Anyway, it plugs the hole, for now.

ssa_rec

updated setup.py to reflect covar package and other updates
updated version number to be PEP compliant
@alexkjames alexkjames merged commit a64ff0f into Development Feb 11, 2023
@alexkjames alexkjames deleted the covariance_regularization branch February 11, 2023 01:55
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