statsmodels.tsa.innovations.arma_innovations.arma_loglike¶
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statsmodels.tsa.innovations.arma_innovations.
arma_loglike
(endog, ar_params=None, ma_params=None, sigma2=1, prefix=None)[source]¶ Compute loglikelihood of the given data 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: loglike : numeric
The joint loglikelihood.