DynamicFactor.loglikeobs(params, transformed=True, complex_step=False, **kwargs)
Loglikelihood evaluation
Parameters: |
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[1] recommend maximizing the average likelihood to avoid scale issues; this is done automatically by the base Model fit method.
[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. |
See also
update
© 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.statespace.dynamic_factor.DynamicFactor.loglikeobs.html