statsmodels.tsa.statespace.kalman_filter.KalmanFilter.loglikeobs¶
method
-
KalmanFilter.loglikeobs(**kwargs)[source]¶ Calculate the loglikelihood for each observation associated with the statespace model.
- Parameters
- **kwargs
Additional keyword arguments to pass to the Kalman filter. See KalmanFilter.filter for more details.
- Returns
- loglikearray of float
Array of loglikelihood values for each observation.
Notes
If loglikelihood_burn is positive, then the entries in the returned loglikelihood vector are set to be zero for those initial time periods.