statsmodels.tsa.statespace.sarimax.SARIMAX.loglikeobs¶
-
SARIMAX.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.
- **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.
Last update:
Oct 29, 2024