[scikit-learn] make_spd_matrix documentation

Sina Mansour L. sina.mansour.lakouraj at gmail.com
Thu Jan 30 19:09:00 EST 2020


I was trying to use the random positive definite matrix generator
implemented in sklearn (
However, I noticed the documentation is very minimal, without any
references on related research articles. I'm wondering if it generates a
uniformly random covariance matrix to be used as a sampling method to
generate a null distribution for covariances. I tried looking at the source
code. But I didn't find any reasons or explanations explaining the method.

In other words, I wanted to know if the random symmetric positive definite
matrix returned is uniformly sampled from the space of all positive
definite matrices or not.

This is the idea I was interested in when I came across make_spd_matrix:


Kind regards,
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