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Add methods for performing Wald-tests (#668)
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* Add option to store covariance matrix during fit

* Fix fitting with variance matrix estimation

`.covariance_matrix()` expects X and weights in a different format than
what we have at the end of `.fit().

* Store covariance matrix after estimation

* Handle the alpha_search and glm_cv cases

* Propagate covariance parameters

* Add changelog

* Add method for computing a coefficient table

* Make the confidence intervals user configurable

* Add method for Wald-tests

* Add a convenience method for performing Wald-tests

* Add default value for testing against (0)

* Add Wald test test

* Add more tests

* Fix p-values

* Add tests for coefficient table

* Fix test case

* Fix inconsistencies after rebase

* Add term-name-based Wald-tests

* Add changelog

* Remove term-name based tests

Can be re-added when we actually store term names in the model.

* Properly suppress expected warnings in tests

* Apply comments from review

* Make docstrings more consistent

* Add unified public interface

* Fix type hint

* Fix test case

* Requests from Matthias' review
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stanmart authored Aug 24, 2023
1 parent 27a4ed3 commit 86f4ec6
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4 changes: 3 additions & 1 deletion CHANGELOG.rst
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Expand Up @@ -10,10 +10,12 @@ Changelog
2.6.0 - UNRELEASED
------------------

**New feature**
**New features**

- Added the complementary log-log (`cloglog`) link function.
- Added the option to store the covariance matrix after estimating it. In this case, the covariance matrix does not have to be recomputed when calling inference methods.
- Added methods for performing Wald tests based on a restriction matrix, feature names or term names.
- Added a method for creating a coefficient table with confidence intervals and p-values.

**Bug fix**

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