statsmodels.regression.recursive_ls.RecursiveLS.loglike

RecursiveLS.loglike(params, *args, **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 state space 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.