statsmodels.tsa.innovations.arma_innovations.arma_loglikeobs

statsmodels.tsa.innovations.arma_innovations.arma_loglikeobs(endog, ar_params=None, ma_params=None, sigma2=1, prefix=None)

Compute loglikelihood for each observation assuming an ARMA process

Parameters

endogndarray

The observed time-series process.

ar_paramsndarray, optional

Autoregressive parameters.

ma_paramsndarray, optional

Moving average parameters.

sigma2ndarray, optional

The ARMA innovation variance. Default is 1.

prefixstr, optional

The BLAS prefix associated with the datatype. Default is to find the best datatype based on given input. This argument is typically only used internally.

Returns

loglikeobsarray of numeric

Array of loglikelihood values for each observation.