classmethod KalmanFilter.loglike(params, arma_model, set_sigma2=True)
[source]
The loglikelihood for an ARMA model using the Kalman Filter recursions.
Parameters: |
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This works for both real valued and complex valued parameters. The complex values being used to compute the numerical derivative. If available will use a Cython version of 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.kalmanf.kalmanfilter.KalmanFilter.loglike.html