6.7.7.2.5.1.30. statsmodels.sandbox.regression.penalized.TheilRegressionResults.hatmatrix_diag

TheilRegressionResults.hatmatrix_diag(X' xpxi X)

where xpxi = (X’X + lambd * sigma_prior)^{-1}

Notes

uses wexog, so this includes weights or sigma - check this case

not clear whether I need to multiply by sigmahalf, i.e.

(W^{-0.5} X) (X’ W X)^{-1} (W^{-0.5} X)’ or (W X) (X’ W X)^{-1} (W X)’

projection y_hat = H y or in terms of transformed variables (W^{-0.5} y)

might be wrong for WLS and GLS case