stsm (version 1.7)

method-logLik: Extract Log-Likelihood

Description

This method returns the log-likelihood value of a model defined in a stsm object.

Usage

"logLik"(object, domain = c("frequency", "time"), xreg = NULL, td.args = list(P0cov = FALSE, t0 = 1,  KF.version = eval(formals(KFKSDS::KalmanFilter)$KF.version)),  check.td.args = TRUE,  barrier = list(type = c("1", "2"), mu = 0),  inf = 99999, ...)

Arguments

object

an object of class stsm.

domain

a character indicating whether the time domain or the spectral likelihood should be evaluated.

xreg

optional matrix of external regressors with the same number of rows as the length of the input time series m@y.

td.args

a list containing arguments to be passed to mloglik.td. Only for domain = "time".

check.td.args

logical. If TRUE, argument td.args is checked for consistency with td.args$KF.version. Only for domain = "time".

barrier

a list defining a barrier term to penalize parameter values close to the bounds m@lower and m@upper.

inf

a numeric indicating the value to be returned if the value of the log-likelihood function happens to be NA or non-finite.

...

additional arguments. Currently ignored.

Value

An object of class logLik containing the value of the log-likelihood function for the given model and the attribute df, the number of estimated parameters.

See Also

mloglik.fd, mloglik.td, mle, KalmanFilter, stsm.