TLinearModel.nloglikeobs()

statsmodels.miscmodels.tmodel.TLinearModel.nloglikeobs

TLinearModel.nloglikeobs(params) [source]

Loglikelihood of linear model with t distributed errors.

Parameters:

Parameters:	params : array The parameters of the model. The last 2 parameters are degrees of freedom and scale.
Returns:	loglike : array, (nobs,) The log likelihood of the model evaluated at `params` for each observation defined by self.endog and self.exog.

params : array

The parameters of the model. The last 2 parameters are degrees of freedom and scale.

Returns:

loglike : array, (nobs,)

The log likelihood of the model evaluated at params for each observation defined by self.endog and self.exog.

Notes

$\ln L=\sum_{i=1}^{n}\left[-\lambda_{i}+y_{i}x_{i}^{\prime}\beta-\ln y_{i}!\right]$

The t distribution is the standard t distribution and not a standardized t distribution, which means that the scale parameter is not equal to the standard deviation.

self.fixed_params and self.expandparams can be used to fix some parameters. (I doubt this has been tested in this model.)

Links:

http://statsmodels.sourceforge.net/stable/generated/statsmodels.miscmodels.tmodel.TLinearModel.nloglikeobs.html

doc_statsmodels

2017-01-18 16:20:11

Comments