p7]c@sdZddlZddlmZmZddlmZddlm Z ej Z ej Z ejZdefdYZde fd YZdS( sLinear Model with Student-t distributed errors Because the t distribution has fatter tails than the normal distribution, it can be used to model observations with heavier tails and observations that have some outliers. For the latter case, the t-distribution provides more robust estimators for mean or mean parameters (what about var?). References ---------- Kenneth L. Lange, Roderick J. A. Little, Jeremy M. G. Taylor (1989) Robust Statistical Modeling Using the t Distribution Journal of the American Statistical Association Vol. 84, No. 408 (Dec., 1989), pp. 881-896 Published by: American Statistical Association Stable URL: http://www.jstor.org/stable/2290063 not read yet Created on 2010-09-24 Author: josef-pktd License: BSD TODO ---- * add starting values based on OLS * bugs: store_params doesn't seem to be defined, I think this was a module global for debugging - commented out * parameter restriction: check whether version with some fixed parameters works iN(tspecialtstats(tGenericLikelihoodModel(tArmat TLinearModelcBsDeZdZdZdedZdZdZddZ RS(s?Maximum Likelihood Estimation of Linear Model with t-distributed errors This is an example for generic MLE. Except for defining the negative log-likelihood method, all methods and results are generic. Gradients and Hessian and all resulting statistics are based on numerical differentiation. cCs|jjd|_t|ds.t|_n|jtkrud|_d|_|jjdd|_ ddg}nl|jjdd|_ t j t j |jjdd}|j|d<||_t j ||_dg}|j||jtt|jdS(Nitfix_dfitdftscalei(texogtshapetk_varsthasattrtFalseRtNonet fixed_paramstfixed_paramsmasktk_paramstnptnantzerostisnant_set_extra_params_namest_set_start_paramstsuperRt initialize(tselftextra_params_namestfixdf((s<lib/python2.7/site-packages/statsmodels/miscmodels/tmodel.pyR>s"   $     cCs|dk r||_nddlm}||j|jj}dtj|j }|j ||j *|j t kr|rtj|j}d|d}nd}||dc Ks|\}}|dk rDt|||dkrptdqpn,tjdtj||ddgf}tt|jd|d|d|d |d ||} | S( Nis(start_param need sum(order) + 2 elementsg?iitorderRtmethodtmaxiterttol( R tlent ValueErrorRt concatenateR!RR:tfit_mle( RRARRBRCRDtkwdstnartnmatres((s<lib/python2.7/site-packages/statsmodels/miscmodels/tmodel.pyRHs  ,  N(R7R8R9R+R)R RH(((s<lib/python2.7/site-packages/statsmodels/miscmodels/tmodel.pyR:s    (R9tnumpyRtscipyRRtstatsmodels.base.modelRtstatsmodels.tsa.arma_mleRtlogR0tpiR1tgammalnR/RR:(((s<lib/python2.7/site-packages/statsmodels/miscmodels/tmodel.pyt"s    w