statsmodels.regression.dimred.SlicedAverageVarianceEstimation¶

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

Sliced Average Variance Estimation (SAVE)

Parameters:¶

endog : array_like (1d)¶

The dependent variable

exog : array_like (2d)¶

The covariates

bc : bool, 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.