scikits.statsmodels.stattools.conditionnum

scikits.statsmodels.stattools.conditionnum(exog)

Returns the condition number of an exogenous design array.

The given array is first normalized (except for a constant term assumed to be in the last column) so that each column is a unit length vector then the condition number of dot(norm_exog.T,norm_exog) is returned. The condition number is defined as the square root of the ratio of the largest eigenvalue to the smallest eigenvalue.

Parameters:

exog : array-like

An exogenous design matrix with the final column assumed to be a the constant

Returns:

Condition numbers. :

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