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statsmodels.genmod.cov_struct.Autoregressive.covariance_matrix

Autoregressive.covariance_matrix(endog_expval, index)[source]

Returns the working covariance or correlation matrix for a given cluster of data.

Parameters:

endog_expval: array-like :

The expected values of endog for the cluster for which the covariance or correlation matrix will be returned

index: integer :

The index of the cluster for which the covariane or correlation matrix will be returned

Returns:

M: matrix :

The covariance or correlation matrix of endog

is_cor: bool :

True if M is a correlation matrix, False if M is a covariance matrix

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