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statsmodels.miscmodels.tmodel.TLinearModel.nloglikeobs

TLinearModel.nloglikeobs(params)[source]

Loglikelihood of linear model with t distributed errors.

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.

Notes

System Message: WARNING/2 (\ln L=\sum_{i=1}^{n}\left[-\lambda_{i}+y_{i}x_{i}^{\prime}\beta-\ln y_{i}!\right] )

latex exited with error [stdout] This is pdfTeX, Version 3.14159265-2.6-1.40.15 (TeX Live 2014) (preloaded format=latex) restricted \write18 enabled. entering extended mode (./math.tex LaTeX2e <2011/06/27> Babel <3.9k> and hyphenation patterns for 2 languages loaded. (/usr/share/texlive/texmf-dist/tex/latex/base/article.cls Document Class: article 2007/10/19 v1.4h Standard LaTeX document class (/usr/share/texlive/texmf-dist/tex/latex/base/size12.clo)) (/usr/share/texlive/texmf-dist/tex/latex/base/inputenc.sty ! LaTeX Error: File `utf8x.def’ not found. Type X to quit or <RETURN> to proceed, or enter new name. (Default extension: def) Enter file name: ! Emergency stop. <read *> l.131 \endinput ^^M No pages of output. Transcript written on math.log.

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.)

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