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 : array (nobs, k_vars)

Score per observation, evaluated at params.

Notes

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