statsmodels.tsa.statespace.kalman_filter.KalmanFilter.loglikeobs#

KalmanFilter.loglikeobs(**kwargs)[source]#

Calculate the loglikelihood for each observation associated with the statespace model

Parameters:

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

Returns:

loglikearray of float: Array of loglikelihood values for each observation.

Notes

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