statsmodels.genmod.generalized_linear_model.GLM.hessian_factor

GLM.hessian_factor(params, scale=None, observed=True)

Weights for calculating Hessian

Parameters:

params : ndarray

parameter at which Hessian is evaluated

scale : None or float

If scale is None, then the default scale will be calculated. Default scale is defined by self.scaletype and set in fit. If scale is not None, then it is used as a fixed scale.

observed : bool

If True, then the observed Hessian is returned. If false then the expected information matrix is returned.

Returns:

hessian_factor : ndarray, 1d

A 1d weight vector used in the calculation of the Hessian. The hessian is obtained by (exog.T * hessian_factor).dot(exog)