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statsmodels.genmod.cov_struct.CovStruct

class statsmodels.genmod.cov_struct.CovStruct(cov_nearest_method='clipped')[source]

A base class for correlation and covariance structures of grouped data.

Each implementation of this class takes the residuals from a regression model that has been fitted to grouped data, and uses them to estimate the within-group dependence structure of the random errors in the model.

The state of the covariance structure is represented through the value of the class variable dep_params. The default state of a newly-created instance should correspond to the identity correlation matrix.

Methods

covariance_matrix(endog_expval, index) Returns the working covariance or correlation matrix for a given cluster of data.
covariance_matrix_solve(expval, index, ...) Solves matrix equations of the form covmat * soln = rhs and returns the values of soln, where covmat is the covariance matrix represented by this class.
initialize(model) Called by GEE, used by implementations that need additional setup prior to running fit.
summary() Returns a text summary of the current estimate of the dependence structure.
update(params) Updates the association parameter values based on the current regression coefficients.

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