6.2.2.2.1. statsmodels.sandbox.datarich.factormodels.FactorModelUnivariate¶
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class
statsmodels.sandbox.datarich.factormodels.FactorModelUnivariate(endog, exog)[source]¶ Todo: check treatment of const, make it optional ?
add hasconst (0 or 1), needed when selecting nfact+hasconstoptions are arguments in calc_factors, should be more public instead cross-validation is slow for large number of observations
6.2.2.2.1.1. Methods¶
__init__(endog, exog) |
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calc_factors([x, keepdim, addconst]) |
get factor decomposition of exogenous variables |
fit_find_nfact([maxfact, skip_crossval, cv_iter]) |
estimate the model and selection criteria for up to maxfact factors |
fit_fixed_nfact(nfact) |
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summary_find_nfact() |
provides a summary for the selection of the number of factors |