# Statistics stats¶

This section collects various statistical tests and tools. Some can be used independently of any models, some are intended as extension to the models and model results.

API Warning: The functions and objects in this category are spread out in various modules and might still be moved around. We expect that in future the statistical tests will return class instances with more informative reporting instead of only the raw numbers.

## Residual Diagnostics and Specification Tests¶

 durbin_watson(resids[, axis]) Calculates the Durbin-Watson statistic jarque_bera(resids[, axis]) Calculates the Jarque-Bera test for normality omni_normtest(resids[, axis]) Omnibus test for normality medcouple(y[, axis]) Calculates the medcouple robust measure of skew. robust_skewness(y[, axis]) Calculates the four skewness measures in Kim & White robust_kurtosis(y[, axis, ab, dg, excess]) Calculates the four kurtosis measures in Kim & White expected_robust_kurtosis([ab, dg]) Calculates the expected value of the robust kurtosis measures in Kim and White assuming the data are normally distributed.
 acorr_ljungbox(x[, lags, boxpierce]) Ljung-Box test for no autocorrelation acorr_breusch_godfrey(results[, nlags, store]) Breusch Godfrey Lagrange Multiplier tests for residual autocorrelation HetGoldfeldQuandt test whether variance is the same in 2 subsamples het_goldfeldquandt see class docstring het_breuschpagan(resid, exog_het) Breusch-Pagan Lagrange Multiplier test for heteroscedasticity het_white(resid, exog[, retres]) White’s Lagrange Multiplier Test for Heteroscedasticity het_arch(resid[, maxlag, autolag, store, …]) Engle’s Test for Autoregressive Conditional Heteroscedasticity (ARCH) Harvey Collier test for linearity linear_rainbow(res[, frac]) Rainbow test for linearity linear_lm(resid, exog[, func]) Lagrange multiplier test for linearity against functional alternative breaks_cusumolsresid(olsresidual[, ddof]) cusum test for parameter stability based on ols residuals breaks_hansen(olsresults) test for model stability, breaks in parameters for ols, Hansen 1992 recursive_olsresiduals(olsresults[, skip, …]) calculate recursive ols with residuals and cusum test statistic CompareCox Cox Test for non-nested models compare_cox Cox Test for non-nested models CompareJ J-Test for comparing non-nested models compare_j J-Test for comparing non-nested models unitroot_adf(x[, maxlag, trendorder, …]) normal_ad(x[, axis]) Anderson-Darling test for normal distribution unknown mean and variance kstest_normal(x[, dist, pvalmethod]) Lilliefors test for normality or an exponential distribution. lilliefors(x[, dist, pvalmethod]) Lilliefors test for normality or an exponential distribution.

### Outliers and influence measures¶

 OLSInfluence(results) class to calculate outlier and influence measures for OLS result GLMInfluence(results[, resid, endog, exog, …]) Influence and outlier measures (experimental) MLEInfluence(results[, resid, endog, exog, …]) Local Influence and outlier measures (experimental) variance_inflation_factor(exog, exog_idx) variance inflation factor, VIF, for one exogenous variable

## Sandwich Robust Covariances¶

The following functions calculate covariance matrices and standard errors for the parameter estimates that are robust to heteroscedasticity and autocorrelation in the errors. Similar to the methods that are available for the LinearModelResults, these methods are designed for use with OLS.

 sandwich_covariance.cov_hac(results[, …]) heteroscedasticity and autocorrelation robust covariance matrix (Newey-West) sandwich_covariance.cov_nw_panel(results, …) Panel HAC robust covariance matrix sandwich_covariance.cov_nw_groupsum(results, …) Driscoll and Kraay Panel robust covariance matrix sandwich_covariance.cov_cluster(results, group) cluster robust covariance matrix cluster robust covariance matrix for two groups/clusters heteroscedasticity robust covariance matrix (White)

The following are standalone versions of the heteroscedasticity robust standard errors attached to LinearModelResults

 See statsmodels.RegressionResults See statsmodels.RegressionResults See statsmodels.RegressionResults See statsmodels.RegressionResults get standard deviation from covariance matrix

## Goodness of Fit Tests and Measures¶

some tests for goodness of fit for univariate distributions

 powerdiscrepancy(observed, expected[, …]) Calculates power discrepancy, a class of goodness-of-fit tests as a measure of discrepancy between observed and expected data. gof_chisquare_discrete(distfn, arg, rvs, …) perform chisquare test for random sample of a discrete distribution gof_binning_discrete(rvs, distfn, arg[, nsupp]) get bins for chisquare type gof tests for a discrete distribution chisquare_effectsize(probs0, probs1[, …]) effect size for a chisquare goodness-of-fit test
 normal_ad(x[, axis]) Anderson-Darling test for normal distribution unknown mean and variance kstest_normal(x[, dist, pvalmethod]) Lilliefors test for normality or an exponential distribution. lilliefors(x[, dist, pvalmethod]) Lilliefors test for normality or an exponential distribution.

## Non-Parametric Tests¶

 mcnemar(x[, y, exact, correction]) McNemar test symmetry_bowker(table) Test for symmetry of a (k, k) square contingency table median_test_ksample(x, groups) chisquare test for equality of median/location runstest_1samp(x[, cutoff, correction]) use runs test on binary discretized data above/below cutoff runstest_2samp(x[, y, groups, correction]) Wald-Wolfowitz runstest for two samples Cochran’s Q test for identical effect of k treatments class for runs in a binary sequence
 sign_test(samp[, mu0]) Signs test.

## Interrater Reliability and Agreement¶

The main function that statsmodels has currently available for interrater agreement measures and tests is Cohen’s Kappa. Fleiss’ Kappa is currently only implemented as a measures but without associated results statistics.

 cohens_kappa(table[, weights, …]) Compute Cohen’s kappa with variance and equal-zero test fleiss_kappa(table[, method]) Fleiss’ and Randolph’s kappa multi-rater agreement measure to_table(data[, bins]) convert raw data with shape (subject, rater) to (rater1, rater2) aggregate_raters(data[, n_cat]) convert raw data with shape (subject, rater) to (subject, cat_counts)

## Multiple Tests and Multiple Comparison Procedures¶

multipletests is a function for p-value correction, which also includes p-value correction based on fdr in fdrcorrection. tukeyhsd performs simultaneous testing for the comparison of (independent) means. These three functions are verified. GroupsStats and MultiComparison are convenience classes to multiple comparisons similar to one way ANOVA, but still in developement

 multipletests(pvals[, alpha, method, …]) Test results and p-value correction for multiple tests fdrcorrection(pvals[, alpha, method, is_sorted]) pvalue correction for false discovery rate
 GroupsStats(x[, useranks, uni, intlab]) statistics by groups (another version) MultiComparison(data, groups[, group_order]) Tests for multiple comparisons TukeyHSDResults(mc_object, results_table, q_crit) Results from Tukey HSD test, with additional plot methods
 pairwise_tukeyhsd(endog, groups[, alpha]) Calculate all pairwise comparisons with TukeyHSD confidence intervals
 local_fdr(zscores[, null_proportion, …]) Calculate local FDR values for a list of Z-scores. fdrcorrection_twostage(pvals[, alpha, …]) (iterated) two stage linear step-up procedure with estimation of number of true hypotheses NullDistribution(zscores[, null_lb, …]) Estimate a Gaussian distribution for the null Z-scores. RegressionFDR(endog, exog, regeffects[, method]) Control FDR in a regression procedure.
 CorrelationEffects Marginal correlation effect sizes for FDR control. OLSEffects OLS regression for knockoff analysis. ForwardEffects(pursuit) Forward selection effect sizes for FDR control. OLSEffects OLS regression for knockoff analysis. RegModelEffects(model_cls[, regularized, …]) Use any regression model for Regression FDR analysis.

The following functions are not (yet) public

 varcorrection_pairs_unbalanced(nobs_all[, …]) correction factor for variance with unequal sample sizes for all pairs varcorrection_pairs_unequal(var_all, …) return joint variance from samples with unequal variances and unequal sample sizes for all pairs varcorrection_unbalanced(nobs_all[, srange]) correction factor for variance with unequal sample sizes varcorrection_unequal(var_all, nobs_all, df_all) return joint variance from samples with unequal variances and unequal sample sizes StepDown(vals, nobs_all, var_all[, df]) a class for step down methods catstack(args) ccols compare_ordered(vals, alpha) simple ordered sequential comparison of means distance_st_range(mean_all, nobs_all, var_all) pairwise distance matrix, outsourced from tukeyhsd no frills empirical cdf used in fdrcorrection get_tukeyQcrit(k, df[, alpha]) return critical values for Tukey’s HSD (Q) homogeneous_subsets(vals, dcrit) recursively check all pairs of vals for minimum distance find all up zero crossings and return the index of the highest find all up zero crossings and return the index of the highest mcfdr([nrepl, nobs, ntests, ntrue, mu, …]) MonteCarlo to test fdrcorrection qcrit str(object=’’) -> str str(bytes_or_buffer[, encoding[, errors]]) -> str randmvn(rho[, size, standardize]) create random draws from equi-correlated multivariate normal distribution rankdata, equivalent to scipy.stats.rankdata rejectionline(n[, alpha]) reference line for rejection in multiple tests set_partition(ssli) extract a partition from a list of tuples remove sets that are subsets of another set from a list of tuples tiecorrect(xranks) should be equivalent of scipy.stats.tiecorrect

## Basic Statistics and t-Tests with frequency weights¶

Besides basic statistics, like mean, variance, covariance and correlation for data with case weights, the classes here provide one and two sample tests for means. The t-tests have more options than those in scipy.stats, but are more restrictive in the shape of the arrays. Confidence intervals for means are provided based on the same assumptions as the t-tests.

Additionally, tests for equivalence of means are available for one sample and for two, either paired or independent, samples. These tests are based on TOST, two one-sided tests, which have as null hypothesis that the means are not “close” to each other.

 DescrStatsW(data[, weights, ddof]) descriptive statistics and tests with weights for case weights CompareMeans(d1, d2) class for two sample comparison ttest_ind(x1, x2[, alternative, usevar, …]) ttest independent sample ttost_ind(x1, x2, low, upp[, usevar, …]) test of (non-)equivalence for two independent samples ttost_paired(x1, x2, low, upp[, transform, …]) test of (non-)equivalence for two dependent, paired sample ztest(x1[, x2, value, alternative, usevar, ddof]) test for mean based on normal distribution, one or two samples ztost(x1, low, upp[, x2, usevar, ddof]) Equivalence test based on normal distribution zconfint(x1[, x2, value, alpha, …]) confidence interval based on normal distribution z-test

weightstats also contains tests and confidence intervals based on summary data

 _tconfint_generic(mean, std_mean, dof, …) generic t-confint to save typing _tstat_generic(value1, value2, std_diff, …) generic ttest to save typing _zconfint_generic(mean, std_mean, alpha, …) generic normal-confint to save typing _zstat_generic(value1, value2, std_diff, …) generic (normal) z-test to save typing _zstat_generic2(value, std_diff, alternative) generic (normal) z-test to save typing

## Power and Sample Size Calculations¶

The power module currently implements power and sample size calculations for the t-tests, normal based test, F-tests and Chisquare goodness of fit test. The implementation is class based, but the module also provides three shortcut functions, tt_solve_power, tt_ind_solve_power and zt_ind_solve_power to solve for any one of the parameters of the power equations.

 TTestIndPower(**kwds) Statistical Power calculations for t-test for two independent sample TTestPower(**kwds) Statistical Power calculations for one sample or paired sample t-test GofChisquarePower(**kwds) Statistical Power calculations for one sample chisquare test NormalIndPower([ddof]) Statistical Power calculations for z-test for two independent samples. FTestAnovaPower(**kwds) Statistical Power calculations F-test for one factor balanced ANOVA FTestPower(**kwds) Statistical Power calculations for generic F-test tt_solve_power([effect_size, nobs, alpha, …]) solve for any one parameter of the power of a one sample t-test tt_ind_solve_power([effect_size, nobs1, …]) solve for any one parameter of the power of a two sample t-test zt_ind_solve_power([effect_size, nobs1, …]) solve for any one parameter of the power of a two sample z-test

## Proportion¶

Also available are hypothesis test, confidence intervals and effect size for proportions that can be used with NormalIndPower.

 proportion_confint(count, nobs[, alpha, method]) confidence interval for a binomial proportion proportion_effectsize(prop1, prop2[, method]) effect size for a test comparing two proportions binom_test(count, nobs[, prop, alternative]) Perform a test that the probability of success is p. binom_test_reject_interval(value, nobs[, …]) rejection region for binomial test for one sample proportion binom_tost(count, nobs, low, upp) exact TOST test for one proportion using binomial distribution binom_tost_reject_interval(low, upp, nobs[, …]) rejection region for binomial TOST multinomial_proportions_confint(counts[, …]) Confidence intervals for multinomial proportions. proportions_ztest(count, nobs[, value, …]) Test for proportions based on normal (z) test proportions_ztost(count, nobs, low, upp[, …]) Equivalence test based on normal distribution proportions_chisquare(count, nobs[, value]) test for proportions based on chisquare test proportions_chisquare_allpairs(count, nobs) chisquare test of proportions for all pairs of k samples proportions_chisquare_pairscontrol(count, nobs) chisquare test of proportions for pairs of k samples compared to control proportion_effectsize(prop1, prop2[, method]) effect size for a test comparing two proportions power_binom_tost(low, upp, nobs[, p_alt, alpha]) power_ztost_prop(low, upp, nobs, p_alt[, …]) Power of proportions equivalence test based on normal distribution samplesize_confint_proportion(proportion, …) find sample size to get desired confidence interval length

## Moment Helpers¶

When there are missing values, then it is possible that a correlation or covariance matrix is not positive semi-definite. The following three functions can be used to find a correlation or covariance matrix that is positive definite and close to the original matrix.

 corr_clipped(corr[, threshold]) Find a near correlation matrix that is positive semi-definite corr_nearest(corr[, threshold, n_fact]) Find the nearest correlation matrix that is positive semi-definite. corr_nearest_factor(corr, rank[, ctol, …]) Find the nearest correlation matrix with factor structure to a given square matrix. corr_thresholded(data[, minabs, max_elt]) Construct a sparse matrix containing the thresholded row-wise correlation matrix from a data array. cov_nearest(cov[, method, threshold, …]) Find the nearest covariance matrix that is postive (semi-) definite cov_nearest_factor_homog(cov, rank) Approximate an arbitrary square matrix with a factor-structured matrix of the form k*I + XX’. FactoredPSDMatrix(diag, root) Representation of a positive semidefinite matrix in factored form. kernel_covariance(exog, loc, groups[, …]) Use kernel averaging to estimate a multivariate covariance function.

These are utility functions to convert between central and non-central moments, skew, kurtosis and cummulants.

 cum2mc(kappa) convert non-central moments to cumulants recursive formula produces as many cumulants as moments mc2mnc(mc) convert central to non-central moments, uses recursive formula optionally adjusts first moment to return mean mc2mvsk(args) convert central moments to mean, variance, skew, kurtosis mnc2cum(mnc) convert non-central moments to cumulants recursive formula produces as many cumulants as moments mnc2mc(mnc[, wmean]) convert non-central to central moments, uses recursive formula optionally adjusts first moment to return mean mnc2mvsk(args) convert central moments to mean, variance, skew, kurtosis mvsk2mc(args) convert mean, variance, skew, kurtosis to central moments mvsk2mnc(args) convert mean, variance, skew, kurtosis to non-central moments cov2corr(cov[, return_std]) convert covariance matrix to correlation matrix corr2cov(corr, std) convert correlation matrix to covariance matrix given standard deviation se_cov(cov) get standard deviation from covariance matrix

## Mediation Analysis¶

Mediation analysis focuses on the relationships among three key variables: an ‘outcome’, a ‘treatment’, and a ‘mediator’. Since mediation analysis is a form of causal inference, there are several assumptions involved that are difficult or impossible to verify. Ideally, mediation analysis is conducted in the context of an experiment such as this one in which the treatment is randomly assigned. It is also common for people to conduct mediation analyses using observational data in which the treatment may be thought of as an ‘exposure’. The assumptions behind mediation analysis are even more difficult to verify in an observational setting.

 Mediation(outcome_model, mediator_model, …) Conduct a mediation analysis. MediationResults(indirect_effects, …) A class for holding the results of a mediation analysis.