statsmodels.multivariate.factor.FactorResults.factor_scoring

FactorResults.factor_scoring(endog=None, method='bartlett', transform=True)[source]

factor scoring: compute factors for endog

If endog was not provided when creating the factor class, then a standarized endog needs to be provided here.

Parameters:
  • method ('bartlett' or 'regression') – Method to use for factor scoring. ‘regression’ can be abbreviated to reg
  • transform (bool) – If transform is true and endog is provided, then it will be standardized using mean and scale of original data, which has to be available in this case. If transform is False, then a provided endog will be used unchanged. The original endog in the Factor class will always be standardized if endog is None, independently of transform.
Returns:

factor_score – estimated factors using scoring matrix s and standarized endog ys f = ys dot s
Return type:

ndarray

Notes

Status: transform option is experimental and might change.

See also

factor_score_params : scoring matrix