statsmodels.duration.hazard_regression.PHReg.robust_covariance

PHReg.robust_covariance(params)

Returns a covariance matrix for the proportional hazards model regresion coefficient estimates that is robust to certain forms of model misspecification.

Parameters:

params : ndarray

The parameter vector at which the covariance matrix is calculated.

Returns:

The robust covariance matrix as a square ndarray.

Notes

This function uses the groups argument to determine groups within which observations may be dependent. The covariance matrix is calculated using the Huber-White “sandwich” approach.