AR.loglike(params)
[source]
The loglikelihood of an AR(p) process
Parameters: | params (array) – The fitted parameters of the AR model |
---|---|
Returns: |
llf – The loglikelihood evaluated at params
|
Return type: | float |
Contains constant term. If the model is fit by OLS then this returns the conditonal maximum likelihood.
If it is fit by MLE then the (exact) unconditional maximum likelihood is returned.
where
\(\mu_{p}\) is a (p
x 1) vector with each element equal to the mean of the AR process and \(\sigma^{2}V_{p}\) is the (p
x p
) variance-covariance matrix of the first p
observations.
© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.tsa.ar_model.AR.loglike.html