VARMAX.loglikeobs()
statsmodels.tsa.statespace.varmax.VARMAX.loglikeobs
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VARMAX.loglikeobs(params, transformed=True, complex_step=False, **kwargs)
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Loglikelihood evaluation
Parameters: params : array_like
Array of parameters at which to evaluate the loglikelihood function.
transformed : boolean, optional
Whether or not
params
is already transformed. Default is True.**kwargs
Additional keyword arguments to pass to the Kalman filter. See
KalmanFilter.filter
for more details.See also
-
update
- modifies the internal state of the Model to reflect new params
Notes
[R112] recommend maximizing the average likelihood to avoid scale issues; this is done automatically by the base Model fit method.
References
[R112] (1, 2) Koopman, Siem Jan, Neil Shephard, and Jurgen A. Doornik. 1999. Statistical Algorithms for Models in State Space Using SsfPack 2.2. Econometrics Journal 2 (1): 107-60. doi:10.1111/1368-423X.00023. -
© 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.statespace.varmax.VARMAX.loglikeobs.html