statsmodels.tsa.innovations.arma_innovations.arma_score#
- statsmodels.tsa.innovations.arma_innovations.arma_score(endog, ar_params=None, ma_params=None, sigma2=1, prefix=None)[source]#
Compute the score (gradient of the log-likelihood function)
- Parameters:
- endog
ndarray The observed time-series process.
- ar_params
ndarray,optional Autoregressive coefficients, not including the zero lag.
- ma_params
ndarray,optional Moving average coefficients, not including the zero lag, where the sign convention assumes the coefficients are part of the lag polynomial on the right-hand-side of the ARMA definition (i.e. they have the same sign from the usual econometrics convention in which the coefficients are on the right-hand-side of the ARMA definition).
- sigma2
ndarray,optional The ARMA innovation variance. Default is 1.
- prefix
str,optional The BLAS prefix associated with the datatype. Default is to find the best datatype based on given input. This argument is typically only used internally.
- endog
- Returns:
ndarrayScore, evaluated at the given parameters.
Notes
This is a numerical approximation, calculated using first-order complex step differentiation on the arma_loglike method.