INNER CODE UNIT · Python

_compute_variance_matrix

CamDavidsonPilon/lifetimes · lifetimes/fitters/__init__.py:73

    def _compute_variance_matrix(self):
        params_ = self.params_
        return pd.DataFrame(
            (params_ ** 2).values * np.linalg.inv(self._hessian_) / self.data["weights"].sum(),
            columns=params_.index,
            index=params_.index,
        )

    def _compute_standard_errors(self):
        return np.sqrt(pd.Series(np.diag(self.variance_matrix_.values), index=self.params_.index))

    def _compute_confidence_intervals(self):
        inv_cdf_at_5_confidence = 1.96
        return pd.DataFrame(
            {
                "lower 95% bound": self.params_ - inv_cdf_at_5_confidence * self.standard_errors_,
                "upper 95% bound": self.params_ + inv_cdf_at_5_confidence * self.standard_errors_,
            },

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