statsmodels.stats.outliers_influence.OLSInfluence

class statsmodels.stats.outliers_influence.OLSInfluence(results)

class to calculate outlier and influence measures for OLS result

Parameters

resultsRegressionResults

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.

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