statsmodels.tsa.statespace.structural.UnobservedComponents.score

UnobservedComponents.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 – Score, evaluated at params.

Return type:

array

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).