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statsmodels.discrete.discrete_model.Probit.jac

Probit.jac(*args, **kwds)

jac is deprecated, use score_obs instead! Use score_obs method. jac will be removed in 0.7

Probit model Jacobian for each observation
Parameters:

params : array-like

The parameters of the model

Returns:

jac : ndarray, (nobs, k_vars)

The derivative of the loglikelihood for each observation evaluated at params.

Notes

\frac{\partial\ln L_{i}}{\partial\beta}=\left[\frac{q_{i}\phi\left(q_{i}x_{i}^{\prime}\beta\right)}{\Phi\left(q_{i}x_{i}^{\prime}\beta\right)}\right]x_{i}

for observations i=1,...,n

Where q=2y-1. This simplification comes from the fact that the normal distribution is symmetric.

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