4.8.6. statsmodels.tsa.kalmanf.kalmanfilter

State Space Analysis using the Kalman Filter

4.8.6.1. References

Durbin., J and Koopman, S.J. Time Series Analysis by State Space Methods.

Oxford, 2001.

Hamilton, J.D. Time Series Analysis. Princeton, 1994.

Harvey, A.C. Forecasting, Structural Time Series Models and the Kalman Filter.

Cambridge, 1989.

4.8.6.2. Notes

This file follows Hamilton’s notation pretty closely. The ARMA Model class follows Durbin and Koopman notation. Harvey uses Durbin and Koopman notation.

4.8.6.3. Functions

chain_dot(*arrs)	Returns the dot product of the given matrices.
kalmanfilter(F, A, H, Q, R, y, X, xi10, ntrain)	Returns the negative log-likelihood of y conditional on the information set
kalmansmooth(F, A, H, Q, R, y, X, xi10)
updatematrices(params, y, xi10, ntrain, ...)	TODO: change API, update names

4.8.6.4. Classes

KalmanFilter	Kalman Filter code intended for use with the ARMA model.
StateSpaceModel(endog[, exog])	Generic StateSpaceModel class.