statsmodels.tsa.statespace.kalman_filter.KalmanFilter.loglikeobs

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.

Notes

If loglikelihood_burn is positive, then the entries in the returned loglikelihood vector are set to be zero for those initial time periods.

Returns:	loglike – Array of loglikelihood values for each observation.
Return type:	array of float