statsmodels.tsa.statespace.kalman_filter.KalmanFilter.initialize_known¶
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KalmanFilter.
initialize_known
(constant, stationary_cov)¶ Initialize the statespace model with known distribution for initial state.
These values are assumed to be known with certainty or else filled with parameters during, for example, maximum likelihood estimation.
- Parameters
constant : array_like
Known mean of the initial state vector.
stationary_cov : array_like
Known covariance matrix of the initial state vector.