State space representation of a time series process, with Kalman filter and smoother.
Parameters: | k_endog : array_like or integer
k_states : int
k_posdef : int, optional
results_class : class, optional
**kwargs :
|
---|
Attributes
design | |
endog | |
obs_cov | |
obs_intercept | |
selection | |
state_cov | |
state_intercept | |
transition |
Methods
bind(endog) | Bind data to the statespace representation |
filter([filter_method, inversion_method, ...]) | Apply the Kalman filter to the statespace model. |
impulse_responses([steps, impulse, ...]) | Impulse response function |
initialize_approximate_diffuse([variance]) | Initialize the statespace model with approximate diffuse values. |
initialize_known(initial_state, ...) | Initialize the statespace model with known distribution for initial state. |
initialize_stationary() | Initialize the statespace model as stationary. |
loglike([loglikelihood_burn]) | Calculate the loglikelihood associated with the statespace model. |
loglikeobs([loglikelihood_burn]) | Calculate the loglikelihood for each observation associated with the statespace model. |
set_conserve_memory([conserve_memory]) | Set the memory conservation method |
set_filter_method([filter_method]) | Set the filtering method |
set_inversion_method([inversion_method]) | Set the inversion method |
set_smoother_output([smoother_output]) | Set the smoother output |
set_stability_method([stability_method]) | Set the numerical stability method |
simulate(nsimulations[, measurement_shocks, ...]) | Simulate a new time series following the state space model |
smooth([smoother_output, results, ...]) | Apply the Kalman smoother to the statespace model. |
Methods
bind(endog) | Bind data to the statespace representation |
filter([filter_method, inversion_method, ...]) | Apply the Kalman filter to the statespace model. |
impulse_responses([steps, impulse, ...]) | Impulse response function |
initialize_approximate_diffuse([variance]) | Initialize the statespace model with approximate diffuse values. |
initialize_known(initial_state, ...) | Initialize the statespace model with known distribution for initial state. |
initialize_stationary() | Initialize the statespace model as stationary. |
loglike([loglikelihood_burn]) | Calculate the loglikelihood associated with the statespace model. |
loglikeobs([loglikelihood_burn]) | Calculate the loglikelihood for each observation associated with the statespace model. |
set_conserve_memory([conserve_memory]) | Set the memory conservation method |
set_filter_method([filter_method]) | Set the filtering method |
set_inversion_method([inversion_method]) | Set the inversion method |
set_smoother_output([smoother_output]) | Set the smoother output |
set_stability_method([stability_method]) | Set the numerical stability method |
simulate(nsimulations[, measurement_shocks, ...]) | Simulate a new time series following the state space model |
smooth([smoother_output, results, ...]) | Apply the Kalman smoother to the statespace model. |
Attributes
conserve_memory | int(x=0) -> int or long |
design | |
dtype | (dtype) Datatype of currently active representation matrices |
endog | |
filter_conventional | bool(x) -> bool |
filter_method | int(x=0) -> int or long |
filter_methods | list() -> new empty list |
inversion_method | int(x=0) -> int or long |
inversion_methods | list() -> new empty list |
invert_cholesky | bool(x) -> bool |
invert_lu | bool(x) -> bool |
invert_univariate | bool(x) -> bool |
memory_conserve | bool(x) -> bool |
memory_no_filtered | bool(x) -> bool |
memory_no_forecast | bool(x) -> bool |
memory_no_likelihood | bool(x) -> bool |
memory_no_predicted | bool(x) -> bool |
memory_options | list() -> new empty list |
memory_store_all | bool(x) -> bool |
obs | (array) Observation vector: y~(k\_endog \times nobs) |
obs_cov | |
obs_intercept | |
prefix | (str) BLAS prefix of currently active representation matrices |
selection | |
smoother_all | bool(x) -> bool |
smoother_disturbance | bool(x) -> bool |
smoother_disturbance_cov | bool(x) -> bool |
smoother_output | int(x=0) -> int or long |
smoother_outputs | list() -> new empty list |
smoother_state | bool(x) -> bool |
smoother_state_cov | bool(x) -> bool |
solve_cholesky | bool(x) -> bool |
solve_lu | bool(x) -> bool |
stability_force_symmetry | bool(x) -> bool |
stability_method | int(x=0) -> int or long |
stability_methods | list() -> new empty list |
state_cov | |
state_intercept | |
time_invariant | (bool) Whether or not currently active representation matrices are |
transition |