statsmodels.tsa.innovations.arma_innovations.arma_scoreobs¶
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statsmodels.tsa.innovations.arma_innovations.
arma_scoreobs
(endog, ar_params=None, ma_params=None, sigma2=1, prefix=None)[source]¶ Compute the score per observation (gradient of the loglikelihood function)
Parameters: endog : ndarray
The observed time-series process.
ar_params : ndarray, optional
Autoregressive coefficients, not including the zero lag.
ma_params : ndarray, optional
Moving average coefficients, not including the zero lag, where the sign convention assumes the coefficients are part of the lag polynomial on the right-hand-side of the ARMA definition (i.e. they have the same sign from the usual econometrics convention in which the coefficients are on the right-hand-side of the ARMA definition).
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: scoreobs : array
Score per observation, evaluated at the given parameters.
Notes
This is a numerical approximation, calculated using first-order complex step differentiation on the arma_loglike method.