statsmodels.stats.outliers_influence.OLSInfluence.dffits#

OLSInfluence.dffits[source]#

dffits measure for influence of an observation

Returns:

dffitsndarray: The dffits measure for each observation, which is a measure of the influence of a single data point on the predicted value of a model.
dffits_thresholdfloat: The threshold to determine if the influence of an observation is large. The threshold is 2 * sqrt(k / n).

Notes

Based on resid_studentized_external, uses results from leave-one-observation-out loop.

It is recommended that observations with dffits larger than a threshold of 2 sqrt{k / n} where k is the number of parameters, should be investigated.