Python scikit learn Linear Model Parameter Standard Error

Question

I am working with sklearn and specifically the linear_model module. After fitting a simple linear as in

import pandas as pd
import numpy as np
from sklearn impo         


        

Answer 1

No, scikit-learn does not have built error estimates for doing inference. Statsmodels does though.

import statsmodels.api as sm
ols = sm.OLS(y, X)
ols_result = ols.fit()
# Now you have at your disposition several error estimates, e.g.
ols_result.HC0_se
# and covariance estimates
ols_result.cov_HC0

see docs