Classical Inference¶
PyFlux supports Classical inference.
Methods¶
There are a number of classical inference options using the fit()
: option. These can be chosen with the method option.
Maximum Likelihood
Performs Maximum Likelihood estimation.
1 | model.fit(method='MLE')
|
Ordinary Least Squares
Performs Ordinary Least Squares estimation.
1 | model.fit(method='OLS')
|
Penalized Maximum Likelihood
From a frequentist perspective, PML can be viewed as a type of regularization on the coefficients.
1 | model.fit(method='PML')
|