Returns in-sample and out-of-sample prediction.
Parameters: | params : array
start : int, str, or datetime
end : int, str, or datetime
dynamic : bool
|
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Returns: | predicted values : array |
Notes
The linear Gaussian Kalman filter is used to return pre-sample fitted values. The exact initial Kalman Filter is used. See Durbin and Koopman in the references for more information.