statsmodels.tsa.statespace.mlemodel.MLEModel.loglike

MLEModel.loglike(params, *args, **kwargs)

Loglikelihood evaluation

Parameters:

params : array_like

Array of parameters at which to evaluate the loglikelihood function.

transformed : boolean, optional

Whether or not params is already transformed. Default is True.

kwargs

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

See also

update

modifies the internal state of the state space model to reflect new params

Notes

[R74] recommend maximizing the average likelihood to avoid scale issues; this is done automatically by the base Model fit method.

References

[R74]

(1, 2) 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.