classmethod KalmanFilter.loglike(params, arma_model, set_sigma2=True) [source]

The loglikelihood for an ARMA model using the Kalman Filter recursions.

  • params (array) – The coefficients of the ARMA model, assumed to be in the order of trend variables and k exogenous coefficients, the p AR coefficients, then the q MA coefficients.
  • arma_model (statsmodels.tsa.arima.ARMA instance) – A reference to the ARMA model instance.
  • set_sigma2 (bool, optional) – True if arma_model.sigma2 should be set. Note that sigma2 will be computed in any case, but it will be discarded if set_sigma2 is False.


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.