statsmodels.regression.recursive_ls.RecursiveLS.loglikeobs

RecursiveLS.loglikeobs(params, transformed=True, includes_fixed=False, complex_step=False, **kwargs)

Loglikelihood evaluation

Parameters:

paramsarray_like

Array of parameters at which to evaluate the loglikelihood function.

transformedbool, optional

Whether or not params is already transformed. Default is True.

includes_fixedbool, optional

If parameters were previously fixed with the fix_params method, this argument describes whether or not params also includes the fixed parameters, in addition to the free parameters. Default is False.

complex_stepbool, optional

Whether or not to compute the loglikelihood using complex step differentiation. Default is False.

**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

[1] recommend maximizing the average likelihood to avoid scale issues; this is done automatically by the base Model fit method.

References

[1]

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.