7.10.1.25.1. statsmodels.stats.outliers_influence.OLSInfluence¶
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class
statsmodels.stats.outliers_influence.OLSInfluence(results)[source]¶ class to calculate outlier and influence measures for OLS result
Parameters: results : Regression Results instance
currently assumes the results are from an OLS regression
Notes
One part of the results can be calculated without any auxiliary regression (some of which have the _internal postfix in the name. Other statistics require leave-one-observation-out (LOOO) auxiliary regression, and will be slower (mainly results with _external postfix in the name). The auxiliary LOOO regression only the required results are stored.
Using the LOO measures is currently only recommended if the data set is not too large. One possible approach for LOOO measures would be to identify possible problem observations with the _internal measures, and then run the leave-one-observation-out only with observations that are possible outliers. (However, this is not yet available in an automized way.)
This should be extended to general least squares.
The leave-one-variable-out (LOVO) auxiliary regression are currently not used.
Methods
__init__(results)cooks_distance()(cached attribute) Cooks distance cov_ratio()(cached attribute) covariance ratio between LOOO and original det_cov_params_not_obsi()(cached attribute) determinant of cov_params of all LOOO regressions dfbetas()(cached attribute) dfbetas dffits()(cached attribute) dffits measure for influence of an observation dffits_internal()(cached attribute) dffits measure for influence of an observation ess_press()(cached attribute) error sum of squares of PRESS residuals get_resid_studentized_external([sigma])calculate studentized residuals hat_diag_factor()(cached attribute) factor of diagonal of hat_matrix used in influence hat_matrix_diag()(cached attribute) diagonal of the hat_matrix for OLS influence()(cached attribute) influence measure params_not_obsi()(cached attribute) parameter estimates for all LOOO regressions resid_press()(cached attribute) PRESS residuals resid_std()(cached attribute) estimate of standard deviation of the residuals resid_studentized_external()(cached attribute) studentized residuals using LOOO variance resid_studentized_internal()(cached attribute) studentized residuals using variance from OLS resid_var()(cached attribute) estimate of variance of the residuals sigma2_not_obsi()(cached attribute) error variance for all LOOO regressions summary_frame()Creates a DataFrame with all available influence results. summary_table([float_fmt])create a summary table with all influence and outlier measures