KalmanFilter.loglikeobs(**kwargs) [source]

Calculate the loglikelihood for each observation associated with the statespace model.

Parameters: **kwargs – Additional keyword arguments to pass to the Kalman filter. See KalmanFilter.filter for more details.


If loglikelihood_burn is positive, then the entries in the returned loglikelihood vector are set to be zero for those initial time periods.

Returns: loglike – Array of loglikelihood values for each observation.
Return type: array of float

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© 2006 Jonathan E. Taylor
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