statsmodels.genmod.cov_struct.Autoregressive.covariance_matrix

Autoregressive.covariance_matrix(endog_expval, index)

Returns the working covariance or correlation matrix for a given cluster of data.

Parameters:

• endog_expval (array-like) – The expected values of endog for the cluster for which the covariance or correlation matrix will be returned
• index (integer) – The index of the cluster for which the covariane or correlation matrix will be returned

Returns:

• M (matrix) – The covariance or correlation matrix of endog
• is_cor (bool) – True if M is a correlation matrix, False if M is a covariance matrix