statsmodels.nonparametric.kernel_regression.KernelCensoredReg

class statsmodels.nonparametric.kernel_regression.KernelCensoredReg(endog, exog, var_type, reg_type, bw='cv_ls', censor_val=0, defaults=None)[source]

Nonparametric censored regression.

Calculates the condtional mean E[y|X] where y = g(X) + e, where y is left-censored. Left censored variable Y is defined as Y = min {Y', L} where L is the value at which Y is censored and Y' is the true value of the variable.

Parameters
  • endog (list with one element which is array_like) – This is the dependent variable.

  • exog (list) – The training data for the independent variable(s) Each element in the list is a separate variable

  • dep_type (str) – The type of the dependent variable(s) c: Continuous u: Unordered (Discrete) o: Ordered (Discrete)

  • reg_type (str) – Type of regression estimator lc: Local Constant Estimator ll: Local Linear Estimator

  • bw (array_like) – Either a user-specified bandwidth or the method for bandwidth selection. cv_ls: cross-validaton least squares aic: AIC Hurvich Estimator

  • censor_val (float) – Value at which the dependent variable is censored

  • defaults (EstimatorSettings instance, optional) – The default values for the efficient bandwidth estimation

bw

The bandwidth parameters

Type

array_like

Methods

aic_hurvich(bw[, func])

Computes the AIC Hurvich criteria for the estimation of the bandwidth.

censored(censor_val)

cv_loo(bw, func)

The cross-validation function with leave-one-out estimator

fit([data_predict])

Returns the marginal effects at the data_predict points.

loo_likelihood()

r_squared()

Returns the R-Squared for the nonparametric regression.

sig_test(var_pos[, nboot, nested_res, pivot])

Significance test for the variables in the regression.