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.

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model.fit(method='MLE')

Ordinary Least Squares

Performs Ordinary Least Squares estimation.

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model.fit(method='OLS')

Penalized Maximum Likelihood

From a frequentist perspective, PML can be viewed as a type of regularization on the coefficients.

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model.fit(method='PML')