statsmodels.tsa.kalmanf.kalmanfilter.KalmanFilter.loglike

classmethod KalmanFilter.loglike(params, arma_model)

The loglikelihood for an ARMA model using the Kalman Filter recursions.

Parameters :

params : array

The coefficients of the ARMA model, assumed to be in the order of trend variables and k exogenous coefficients, the p AR coefficients, then the q MA coefficients.

arma_model : statsmodels.tsa.arima.ARMA instance

A reference to the ARMA model instance.

Notes

This works for both real valued and complex valued parameters. The complex values being used to compute the numerical derivative. If available will use a Cython version of the Kalman Filter.