statsmodels.tsa.statespace.kalman_smoother.KalmanSmoother.filter

KalmanSmoother.filter(filter_method=None, inversion_method=None, stability_method=None, conserve_memory=None, filter_timing=None, tolerance=None, loglikelihood_burn=None, complex_step=False)

Apply the Kalman filter to the statespace model.

Parameters

filter_method : int, optional

Determines which Kalman filter to use. Default is conventional.

inversion_method : int, optional

Determines which inversion technique to use. Default is by Cholesky decomposition.

stability_method : int, optional

Determines which numerical stability techniques to use. Default is to enforce symmetry of the predicted state covariance matrix.

conserve_memory : int, optional

Determines what output from the filter to store. Default is to store everything.

filter_timing : int, optional

Determines the timing convention of the filter. Default is that from Durbin and Koopman (2012), in which the filter is initialized with predicted values.

tolerance : float, optional

The tolerance at which the Kalman filter determines convergence to steady-state. Default is 1e-19.

loglikelihood_burn : int, optional

The number of initial periods during which the loglikelihood is not recorded. Default is 0.

Notes

This function by default does not compute variables required for smoothing.