how to extract the predicted cross-covariance matrix from estimators?

[zalandoresearch]

how to extract the predicted cross-covariance matrix from estimators?

[kashif]

Right so that figure was made by first recalling that the ground truth is a matrix of dim: [T,D] and the predictions are S=100 or so sample predictions so a tensor of shape [T,S,D]. If I remember correctly we first calculate the mean of each time step of the prediction to obtain [T,D] matrix. Finally, we can calculate the cross-covariance of the ground truth and this prediction matrix and the last figure is the absolute difference of these cross covariances.

Hope that helps?

[sgdantas]

awesome, thanks!
Closing the issue