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I'm looking to identify collinear variables in my input matrix X. I'm able to get some metrics like VIF scores, condition number, condition indices, but unable to get variance decomposition proportions. Can someone please help me on how to compute variance decomposition proportions of correlation matrix in python?

Venkatesh Gandi
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  • Does this answer your question? [Eigendecomposition makes me wonder in numpy](https://stackoverflow.com/questions/50487118/eigendecomposition-makes-me-wonder-in-numpy) – Joe May 05 '20 at 19:53
  • In combination with https://docs.scipy.org/doc/numpy/reference/generated/numpy.corrcoef.html – Joe May 05 '20 at 19:55
  • https://stackoverflow.com/questions/14657433/correlation-matrix-in-python – Joe May 05 '20 at 19:55

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