statsmodels.multivariate.factor.FactorResults.factor_score_params

FactorResults.factor_score_params(method='bartlett')[source]

Compute factor scoring coefficient matrix

The coefficient matrix is not cached.

Parameters
method‘bartlett’ or ‘regression’

Method to use for factor scoring. ‘regression’ can be abbreviated to reg

Returns
coeff_matrixndarray

matrix s to compute factors f from a standardized endog ys. f = ys dot s

Notes

The regression method follows the Stata definition. Method bartlett and regression are verified against Stats. Two unofficial methods, ‘ols’ and ‘gls’, produce similar factor scores but are not verified.