KalmanFilter.loglikeobs(loglikelihood_burn=None, **kwargs)[source]

Calculate the loglikelihood for each observation associated with the statespace model.


loglikelihood_burn : int, optional

The number of initial periods during which the loglikelihood is not recorded. Default is 0.


Additional keyword arguments to pass to the Kalman filter. See KalmanFilter.filter for more details.


loglike : array of float

Array of loglikelihood values for each observation.


If loglikelihood_burn is positive, then the entries in the returned loglikelihood vector are set to be zero for those initial time periods.