statsmodels.tsa.statespace.mlemodel.MLEModel.loglike

MLEModel.loglike(params, *args, **kwargs) [source]

Loglikelihood evaluation

Parameters:	params (array_like) – Array of parameters at which to evaluate the loglikelihood function. transformed (boolean, 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.

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.

See also

update

modifies the internal state of the state space model to reflect new params