statsmodels.stats.outliers_influence.OLSInfluence¶
-
class
statsmodels.stats.outliers_influence.
OLSInfluence
(results)[source]¶ class to calculate outlier and influence measures for OLS result
Parameters: results : RegressionResults
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 automated way.)
This should be extended to general least squares.
The leave-one-variable-out (LOVO) auxiliary regression are currently not used.
Attributes
det_cov_params_not_obsi
determinant of cov_params of all LOOO regressions params_not_obsi
parameter estimates for all LOOO regressions Methods
get_resid_studentized_external
([sigma])calculate studentized residuals plot_index
([y_var, threshold, title, ax, idx])index plot for influence attributes plot_influence
([external, alpha, criterion, …])Plot of influence in regression. summary_frame
()Creates a DataFrame with all available influence results. summary_table
([float_fmt])create a summary table with all influence and outlier measures Methods
get_resid_studentized_external
([sigma])calculate studentized residuals plot_index
([y_var, threshold, title, ax, idx])index plot for influence attributes plot_influence
([external, alpha, criterion, …])Plot of influence in regression. summary_frame
()Creates a DataFrame with all available influence results. summary_table
([float_fmt])create a summary table with all influence and outlier measures Properties
cooks_distance
Cooks distance cov_ratio
covariance ratio between LOOO and original det_cov_params_not_obsi
determinant of cov_params of all LOOO regressions dfbeta
dfbetas dfbetas
uses results from leave-one-observation-out loop dffits
dffits measure for influence of an observation dffits_internal
dffits measure for influence of an observation ess_press
Error sum of squares of PRESS residuals hat_diag_factor
Factor of diagonal of hat_matrix used in influence hat_matrix_diag
Diagonal of the hat_matrix for OLS influence
Influence measure params_not_obsi
parameter estimates for all LOOO regressions resid_press
PRESS residuals resid_std
estimate of standard deviation of the residuals resid_studentized
Studentized residuals using variance from OLS resid_studentized_external
Studentized residuals using LOOO variance resid_studentized_internal
Studentized residuals using variance from OLS resid_var
estimate of variance of the residuals sigma2_not_obsi
error variance for all LOOO regressions