W3cubDocs

/Statsmodels

statsmodels.tsa.arima_model.ARMA.loglike_kalman

ARMA.loglike_kalman(params, set_sigma2=True) [source]

Compute exact loglikelihood for ARMA(p,q) model by the Kalman Filter.

© 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.arima_model.ARMA.loglike_kalman.html