Autoregressive.covariance_matrix()

statsmodels.genmod.cov_struct.Autoregressive.covariance_matrix

Autoregressive.covariance_matrix(endog_expval, index) [source]

Returns the working covariance or correlation matrix for a given cluster of data.

Parameters:

endog_expval: array-like

The expected values of endog for the cluster for which the covariance or correlation matri