statsmodels.regression.linear_model.OLS.hessian_factor

OLS.hessian_factor(params, scale=None, observed=True)[source]

Calculate the weights for the Hessian.

Parameters:

  • params (ndarray) – The parameter at which Hessian is evaluated.

  • scale (None or float) – If scale is None, then the default scale will be calculated. Default scale is defined by self.scaletype and set in fit. If scale is not None, then it is used as a fixed scale.

  • observed (bool) – If True, then the observed Hessian is returned. If false then the expected information matrix is returned.

Returns:

A 1d weight vector used in the calculation of the Hessian. The hessian is obtained by (exog.T * hessian_factor).dot(exog).

Return type:

ndarray