statsmodels.discrete.discrete_model.Probit.cov_params_func_l1

Probit.cov_params_func_l1(likelihood_model, xopt, retvals)

Computes cov_params on a reduced parameter space corresponding to the nonzero parameters resulting from the l1 regularized fit.

Returns a full cov_params matrix, with entries corresponding to zero’d values set to np.nan.