statsmodels.multivariate.factor.FactorResults.factor_scoring#

FactorResults.factor_scoring(endog=None, method='bartlett', transform=True)[source]#

Factor scoring: compute factors for endog

If endog was not provided when creating the factor class, then a standardized endog needs to be provided here.

Parameters:

endogarray_like, optional: Data to be scored using the factor scoring coefficient matrix. If None, the (standardized) endog used to fit the Factor model is used instead.
method‘bartlett’ or ‘regression’: Method to use for factor scoring. ‘regression’ can be abbreviated to reg
transformbool: If transform is true and endog is provided, then it will be standardized using mean and scale of original data, which has to be available in this case. If transform is False, then a provided endog will be used unchanged. The original endog in the Factor class will always be standardized if endog is None, independently of transform.

Returns:

factor_scorendarray: estimated factors using scoring matrix s and standardized endog ys f = ys dot s