- statsmodels.stats.multivariate.confint_mvmean_fromstats(mean, cov, nobs, lin_transf=None, alpha=0.05, simult=False)¶
Confidence interval for linear transformation of a multivariate mean
Either pointwise or simultaneous confidence intervals are returned. Data is provided in the form of summary statistics, mean, cov, nobs.
- lin_transfarray_like or
The linear transformation or contrast matrix for transforming the vector of means. If this is None, then the identity matrix is used which specifies the means themselves.
confidence level for the confidence interval, commonly used is alpha=0.05.
If simult is False (default), then pointwise confidence interval is returned. Otherwise, a simultaneous confidence interval is returned. Warning: additional simultaneous confidence intervals might be added and the default for those might change.
Pointwise confidence interval is based on Johnson and Wichern equation (5-21) page 224.
Simultaneous confidence interval is based on Johnson and Wichern Result 5.3 page 225. This looks like Sheffe simultaneous confidence intervals.
Bonferroni corrected simultaneous confidence interval might be added in future
Johnson, Richard A., and Dean W. Wichern. 2007. Applied Multivariate Statistical Analysis. 6th ed. Upper Saddle River, N.J: Pearson Prentice Hall.