statsmodels.regression.dimred.SlicedAverageVarianceEstimation¶

class statsmodels.regression.dimred.SlicedAverageVarianceEstimation(endog, exog, **kwargs)[source]¶

Sliced Average Variance Estimation (SAVE)

Parameters

endogarray_like (1d): The dependent variable
exogarray_like (2d): The covariates
bcbool, optional: If True, use the bias-corrected CSAVE method of Li and Zhu.

References

RD Cook. SAVE: A method for dimension reduction and graphics in regression. http://www.stat.umn.edu/RegGraph/RecentDev/save.pdf

Y Li, L-X Zhu (2007). Asymptotics for sliced average variance estimation. The Annals of Statistics. https://arxiv.org/pdf/0708.0462.pdf

Methods

`fit`(**kwargs)	Estimate the EDR space.
`from_formula`(formula, data[, subset, drop_cols])	Create a Model from a formula and dataframe.
`predict`(params[, exog])	After a model has been fit predict returns the fitted values.

Properties

`endog_names`	Names of endogenous variables.
`exog_names`	Names of exogenous variables.