statsmodels.tsa.statespace.varmax.VARMAX.score

VARMAX.score(params, *args, **kwargs)

Compute the score function at params.

Parameters:

params : array_like

Array of parameters at which to evaluate the score.

args

Additional positional arguments to the loglike method.

kwargs

Additional keyword arguments to the loglike method.

Returns:

score : array

Score, evaluated at params.

Notes

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

Both *args and **kwargs are necessary because the optimizer from fit must call this function and only supports passing arguments via *args (for example scipy.optimize.fmin_l_bfgs).