Set the inversion method
The Kalman filter may contain one matrix inversion: that of the forecast error covariance matrix. The inversion method controls how and if that inverse is performed.
Parameters: | inversion_method : integer, optional
**kwargs :
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Notes
The inversion method is defined by a collection of boolean flags, and is internally stored as a bitmask. The methods available are:
If the bitmask is set directly via the inversion_method argument, then the full method must be provided.
If keyword arguments are used to set individual boolean flags, then the lowercase of the method must be used as an argument name, and the value is the desired value of the boolean flag (True or False).
Note that the inversion method may also be specified by directly modifying the class attributes which are defined similarly to the keyword arguments.
The default inversion method is INVERT_UNIVARIATE | SOLVE_CHOLESKY
Several things to keep in mind are:
Examples
>>> mod = sm.tsa.statespace.SARIMAX(range(10))
>>> mod.inversion_method
1
>>> mod.solve_cholesky
True
>>> mod.invert_univariate
True
>>> mod.invert_lu
False
>>> mod.invert_univariate = False
>>> mod.inversion_method
8
>>> mod.set_inversion_method(solve_cholesky=False,
invert_cholesky=True)
>>> mod.inversion_method
16