statsmodels.regression.linear_model.WLS.loglike

WLS.loglike(params)

Returns the value of the gaussian log-likelihood function at params.

Given the whitened design matrix, the log-likelihood is evaluated at the parameter vector params for the dependent variable Y.

Parameters:params (array-like) – The parameter estimates. Returns:llf – The value of the log-likelihood function for a WLS Model. Return type:float

Notes

$$-\frac{n}{2}\log\left(Y-\hat{Y}\right)-\frac{n}{2}\left(1+\log\left(\frac{2\pi}{n}\right)\right)-\frac{1}{2}log\left(\left|W\right|\right)$$

where $W$ is a diagonal matrix