statsmodels.duration.hazard_regression.PHReg.robust_covariance¶
- PHReg.robust_covariance(params)[source]¶
Returns a covariance matrix for the proportional hazards model regresion coefficient estimates that is robust to certain forms of model misspecification.
- Parameters:¶
- params
ndarray
The parameter vector at which the covariance matrix is calculated.
- params
- Returns:¶
The
robust
covariance
matrix
as
a
square
ndarray.
Notes
This function uses the groups argument to determine groups within which observations may be dependent. The covariance matrix is calculated using the Huber-White “sandwich” approach.
Last update:
Oct 08, 2024