statsmodels.stats.outliers_influence.MLEInfluence.cooks_distance

method

MLEInfluence.cooks_distance()

Cook’s distance and p-values

Based on one step approximation d_params and on results.cov_params Cook’s distance divides by the number of explanatory variables.

p-values are based on the F-distribution which are only approximate outside of linear Gaussian models.

Warning: The definition of p-values might change if we switch to using chi-square distribution instead of F-distribution, or if we make it dependent on the fit keyword use_t.