statsmodels.tsa.statespace.varmax.VARMAX.loglikeobs

VARMAX.loglikeobs(params, transformed=True, includes_fixed=False, complex_step=False, **kwargs)

Loglikelihood evaluation

Parameters:

• params (array_like) – Array of parameters at which to evaluate the loglikelihood function.

• transformed (bool, optional) – Whether or not params is already transformed. Default is True.

• **kwargs – Additional keyword arguments to pass to the Kalman filter. See KalmanFilter.filter for more details.

See also

update

modifies the internal state of the Model to reflect new params

Notes

[1] recommend maximizing the average likelihood to avoid scale issues; this is done automatically by the base Model fit method.

References

[1]

Koopman, Siem Jan, Neil Shephard, and Jurgen A. Doornik. 1999. Statistical Algorithms for Models in State Space Using SsfPack 2.2. Econometrics Journal 2 (1): 107-60. doi:10.1111/1368-423X.00023.