Correct the way we compute variance covariance matrix #26
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davidshaw-uw
approved these changes
Aug 8, 2023
| coef_index = self._get_coef_index(learner_id) | ||
| super_vcov[np.ix_(coef_index, coef_index)] += ( | ||
| weight * self.learners[learner_id].vcov | ||
| super_vcov[np.ix_(coef_index, coef_index)] += weight * ( |
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Just curious what this extra np.outer term adds? If you don't mind explaining
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Hi @davidshaw-uw, the formula is from the law of total (co)variance.
https://en.wikipedia.org/wiki/Law_of_total_covariance
The first term is the expectation of the covariance, and the second term (np.outer) is the covariance of the expectation.
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