4.8.3.2.4. statsmodels.tsa.ar_model.KalmanFilter¶
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class
statsmodels.tsa.ar_model.KalmanFilter[source]¶ Kalman Filter code intended for use with the ARMA model.
Notes
The notation for the state-space form follows Durbin and Koopman (2001).
The observation equations is
\[y_{t} = Z_{t}\alpha_{t} + \epsilon_{t}\]The state equation is
\[\alpha_{t+1} = T_{t}\alpha_{t} + R_{t}\eta_{t}\]For the present purposed epsilon_{t} is assumed to always be zero.
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__init__¶ x.__init__(...) initializes x; see help(type(x)) for signature
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4.8.3.2.4.1. Methods¶
R(params, r, k, q, p) |
The coefficient matrix for the state vector in the observation equation. |
T(params, r, k, p) |
The coefficient matrix for the state vector in the state equation. |
Z(r) |
Returns the Z selector matrix in the observation equation. |
geterrors(y, k, k_ar, k_ma, k_lags, nobs, ...) |
Returns just the errors of the Kalman Filter |
loglike(params, arma_model[, set_sigma2]) |
The loglikelihood for an ARMA model using the Kalman Filter recursions. |