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

paramsndarray

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.