statsmodels.tsa.arima.model.ARIMA.loglikeobs¶
- ARIMA.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.