amflss.py 文件源码

def loglikelihood_path(self, x, y):
        A, B, D, F = self.A, self.B, self.D, self.F
        k, T = y.shape
        FF = F @ F.T
        FFinv = la.inv(FF)
        temp = y[:, 1:] - y[:, :-1] - D @ x[:, :-1]
        obs =  temp * FFinv * temp
        obssum = np.cumsum(obs)
        scalar = (np.log(la.det(FF)) + k*np.log(2*np.pi))*np.arange(1, T)

        return -(.5)*(obssum + scalar)