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diffs returns two diffrences - differences between consecutive time periods, and differences with the first time period (t=0) #6

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diffs returns two diffrences - differences between consecutive time periods, and differences with the first time period (t=0) #6

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13 changes: 9 additions & 4 deletions tcorex/covariance.py
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Original file line number Diff line number Diff line change
Expand Up @@ -20,15 +20,20 @@ def calculate_nll_score(data, covs):


def diffs(matrices, norm='fro'):
""" Computes the norms of differences of neighboring matrices.
""" Computes the norms of differences of neighboring matrices, and differences w.r.t matrix at time t=0
:param matrices: list of matrices
:param ord: variable that will be passed to np.linalg.norm
"""
nt = len(matrices)

ret = []
for t in range(nt - 1):
ret.append(np.linalg.norm(matrices[t] - matrices[t+1], ord=norm))
return ret
ret_zero = []

for t in range(0, nt - 1):
ret.append(np.linalg.norm(matrices[t+1] - matrices[t], ord=norm))
ret_zero.append(np.linalg.norm(matrices[t+1] - matrices[0], ord=norm))

return ret, ret_zero


def reorder(mat, clusters):
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