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statsmodels.regression.linear_model.GLSAR.loglike

GLSAR.loglike(params)

Returns the value of the gaussian loglikelihood function at params.

Given the whitened design matrix, the loglikelihood is evaluated at the parameter vector params for the dependent variable endog.

Parameters :

params : array-like

The parameter estimates

Returns :

loglike : float

The value of the loglikelihood function for a GLS Model.

Notes

The loglikelihood function for the normal distribution is

-\frac{n}{2}\log\left(Y-\hat{Y}\right)-\frac{n}{2}\left(1+\log\left(\frac{2\pi}{n}\right)\right)-\frac{1}{2}\log\left(\left|\Sigma\right|\right)

Y and Y-hat are whitened.

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