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.. currentmodule:: statsmodels.stats
.. _stats:
Statistics :mod:`stats`
=======================
Introduction
------------
This section collects various statistical tests and tools.
Some can be used independently of any models, some are intended as extension to the
models and model results.
API Warning: The functions and objects in this category are spread out in various modules
and might still be moved around.
.. _stattools:
Residual Diagnostics and Specification Tests
--------------------------------------------
.. currentmodule:: statsmodels.stats.stattools
.. autosummary::
:toctree: generated/
durbin_watson
jarque_bera
omni_normtest
.. currentmodule:: statsmodels.stats.diagnostic
.. autosummary::
:toctree: generated/
acorr_ljungbox
acorr_breush_godfrey
HetGoldfeldQuandt
het_goldfeldquandt
het_breushpagan
het_white
het_arch
linear_harvey_collier
linear_rainbow
linear_lm
breaks_cusumolsresid
breaks_hansen
recursive_olsresiduals
CompareCox
compare_cox
CompareJ
compare_j
unitroot_adf
normal_ad
kstest_normal
lillifors
Outliers and influence measures
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
.. currentmodule:: statsmodels.stats.outliers_influence
.. autosummary::
:toctree: generated/
OLSInfluence
variance_inflation_factor
See also the notes on :ref:`notes on regression diagnostics <diagnostics>`
Sandwich Robust Covariances
---------------------------
The following functions calculate covariance matrices and standard errors for
the parameter estimates that are robust to heteroscedasticity and
autocorrelation in the errors. Similar to the methods that are available
for the LinearModelResults, these methods are designed for use with OLS.
.. currentmodule:: statsmodels.stats
.. autosummary::
:toctree: generated/
sandwich_covariance.cov_hac
sandwich_covariance.cov_nw_panel
sandwich_covariance.cov_nw_groupsum
sandwich_covariance.cov_cluster
sandwich_covariance.cov_cluster_2groups
sandwich_covariance.cov_white_simple
The following are standalone versions of the heteroscedasticity robust
standard errors attached to LinearModelResults
.. autosummary::
:toctree: generated/
sandwich_covariance.cov_hc0
sandwich_covariance.cov_hc1
sandwich_covariance.cov_hc2
sandwich_covariance.cov_hc3
sandwich_covariance.se_cov
Goodness of Fit Tests and Measures
----------------------------------
some tests for goodness of fit for univariate distributions
.. currentmodule:: statsmodels.stats.gof
.. autosummary::
:toctree: generated/
powerdiscrepancy
gof_chisquare_discrete
gof_binning_discrete
.. currentmodule:: statsmodels.stats.diagnostic
.. autosummary::
:toctree: generated/
normal_ad
kstest_normal
lillifors
Non-Parametric Tests
--------------------
.. currentmodule:: statsmodels.sandbox.stats.runs
.. autosummary::
:toctree: generated/
mcnemar
median_test_ksample
runstest_1samp
runstest_2samp
cochran_q
Runs
Multiple Tests and Multiple Comparison Procedures
-------------------------------------------------
`multipletests` is a function for p-value correction, which also includes p-value
correction based on fdr in `fdrcorrection`.
`tukeyhsd` performs simulatenous testing for the comparison of (independent) means.
These three functions are verified.
GroupsStats and MultiComparison are convenience classes to multiple comparisons similar
to one way ANOVA, but still in developement
.. currentmodule:: statsmodels.sandbox.stats.multicomp
.. autosummary::
:toctree: generated/
multipletests
fdrcorrection0
tukeyhsd
GroupsStats
MultiComparison
The following functions are not (yet) public (here for my own benefit, JP)
.. currentmodule:: statsmodels.sandbox.stats.multicomp
.. autosummary::
:toctree: generated/
varcorrection_pairs_unbalanced
varcorrection_pairs_unequal
varcorrection_unbalanced
varcorrection_unequal
StepDown
catstack
ccols
compare_ordered
distance_st_range
ecdf
get_tukeyQcrit
homogeneous_subsets
line
maxzero
maxzerodown
mcfdr
qcrit
randmvn
rankdata
rejectionline
set_partition
set_remove_subs
tiecorrect
Basic Statistics and t-Tests with frequency weights
---------------------------------------------------
.. currentmodule:: statsmodels.stats.weightstats
.. autosummary::
:toctree: generated/
CompareMeans
DescrStatsW
tstat_generic
Moment Helpers
--------------
These are utility functions to convert between central and non-central moments, skew,
kurtosis and cummulants.
.. currentmodule:: statsmodels.stats.moment_helpers
.. autosummary::
:toctree: generated/
cum2mc
mc2mnc
mc2mvsk
mnc2cum
mnc2mc
mnc2mvsk
mvsk2mc
mvsk2mnc
|
