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statsmodels.tsa.statespace.structural.UnobservedComponents.score_obs

UnobservedComponents.score_obs(params, method='approx', transformed=True, approx_complex_step=None, approx_centered=False, **kwargs)

Compute the score per observation, evaluated at params

Parameters:
  • params (array_like) – Array of parameters at which to evaluate the score.
  • kwargs – Additional arguments to the loglike method.
Returns:

score – Score per observation, evaluated at params.

Return type:

array

Notes

This is a numerical approximation, calculated using first-order complex step differentiation on the loglikeobs method.

© 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.structural.UnobservedComponents.score_obs.html