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)[source]

Compute loglikelihood for each observation assuming an ARMA process

Parameters:

endog : ndarray

The observed time-series process.

ar_params : ndarray, optional

Autoregressive parameters.

ma_params : ndarray, optional

Moving average parameters.

sigma2 : ndarray, optional

The ARMA innovation variance. Default is 1.

prefix : str, 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:

loglikeobs : array of numeric

Array of loglikelihood values for each observation.