KalmanFilter.loglike()
statsmodels.tsa.kalmanf.kalmanfilter.KalmanFilter.loglike
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classmethod KalmanFilter.loglike(params, arma_model, set_sigma2=True)
[source] -
The loglikelihood for an ARMA model using the Kalman Filter recursions.
Parameters: params : array
The coefficients of the ARMA model, assumed to be in the order of trend variables and
k
exogenous coefficients, thep
AR coefficients, then theq
MA coefficients.arma_model :
statsmodels.tsa.arima.ARMA
instanceA reference to the ARMA model instance.
set_sigma2 : bool, optional
True if arma_model.sigma2 should be set. Note that sigma2 will be computed in any case, but it will be discarded if set_sigma2 is False.
Notes
This works for both real valued and complex valued parameters. The complex values being used to compute the numerical derivative. If available will use a Cython version of the Kalman Filter.
© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.tsa.kalmanf.kalmanfilter.KalmanFilter.loglike.html