statsmodels.regression.dimred.PrincipalHessianDirections

class statsmodels.regression.dimred.PrincipalHessianDirections(endog, exog, **kwargs)

Principal Hessian Directions (PHD)

Parameters:

endogarray_like (1d)

The dependent variable

exogarray_like (2d)

The covariates

Returns:

A model instance. Call fit to obtain a results instance,

from which the estimated parameters can be obtained.

References

KC Li (1992). On Principal Hessian Directions for Data Visualization and Dimension Reduction: Another application of Stein’s lemma. JASA 87:420.

Attributes:

endog_names

Names of endogenous variables.

exog_names

Names of exogenous variables.

Methods

fit(**kwargs)	Estimate the EDR space using PHD.
from_formula(formula, data[, subset, drop_cols])	Create a Model from a formula and dataframe.
predict(params[, exog])	After a model has been fit predict returns the fitted values.

Properties

endog_names	Names of endogenous variables.
exog_names	Names of exogenous variables.