Frozen Statespace Model
Takes a snapshot of a Statespace model.
Parameters: | model : Representation
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Attributes
nobs | int | Number of observations. |
k_endog | int | The dimension of the observation series. |
k_states | int | The dimension of the unobserved state process. |
k_posdef | int | The dimension of a guaranteed positive definite covariance matrix describing the shocks in the measurement equation. |
dtype | dtype | Datatype of representation matrices |
prefix | str | BLAS prefix of representation matrices |
shapes | dictionary of name:tuple | A dictionary recording the shapes of each of the representation matrices as tuples. |
endog | array | The observation vector. |
design | array | The design matrix, Z. |
obs_intercept | array | The intercept for the observation equation, d. |
obs_cov | array | The covariance matrix for the observation equation H. |
transition | array | The transition matrix, T. |
state_intercept | array | The intercept for the transition equation, c. |
selection | array | The selection matrix, R. |
state_cov | array | The covariance matrix for the state equation Q. |
missing | array of bool | An array of the same size as endog, filled with boolean values that are True if the corresponding entry in endog is NaN and False otherwise. |
nmissing | array of int | An array of size nobs, where the ith entry is the number (between 0 and k_endog) of NaNs in the ith row of the endog array. |
time_invariant | bool | Whether or not the representation matrices are time-invariant |
initialization | str | Kalman filter initialization method. |
initial_state | array_like | The state vector used to initialize the Kalamn filter. |
initial_state_cov | array_like | The state covariance matrix used to initialize the Kalamn filter. |
Methods
update_representation(model) |
Methods
update_representation(model) |