statsmodels.tsa.statespace.kalman_filter.KalmanFilter.loglikeobs

KalmanFilter.loglikeobs(loglikelihood_burn=None, **kwargs)

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

Parameters:

loglikelihood_burn : int, optional

The number of initial periods during which the loglikelihood is not recorded. Default is 0.

**kwargs

Additional keyword arguments to pass to the Kalman filter. See KalmanFilter.filter for more details.

Returns:

loglike : array of float

Array of loglikelihood values for each observation.

Notes

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