statsmodels.tsa.statespace.simulation_smoother.SimulationSmoothResults¶
-
class
statsmodels.tsa.statespace.simulation_smoother.
SimulationSmoothResults
(model, simulation_smoother)[source]¶ Results from applying the Kalman smoother and/or filter to a state space model.
- Parameters
model : Representation
A Statespace representation
simulation_smoother : {{prefix}}SimulationSmoother object
The Cython simulation smoother object with which to simulation smooth.
Attributes
Randomly drawn measurement disturbance variates
Randomly drawn state disturbance variates, used to construct generated_state and generated_obs.
Generated vector of observations by iterating on the observation and transition equations, given a random initial state draw and random disturbance draws.
Generated vector of states by iterating on the transition equation, given a random initial state draw and random disturbance draws.
Random draw of the state vector from its conditional distribution.
Random draw of the measurement disturbance vector from its conditional distribution.
Random draw of the state disturbance vector from its conditional distribution.
model
(Representation) A Statespace representation
dtype
(dtype) Datatype of representation matrices
prefix
(str) BLAS prefix of representation matrices
simulation_output
(int) Bitmask controlling simulation output.
simulate_state
(bool) Flag for if the state is included in simulation output.
simulate_disturbance
(bool) Flag for if the state and observation disturbances are included in simulation output.
simulate_all
(bool) Flag for if simulation output should include everything.
Methods
simulate
([simulation_output, …])Perform simulation smoothing
Methods
simulate
([simulation_output, …])Perform simulation smoothing
Properties
Randomly drawn measurement disturbance variates
Generated vector of observations by iterating on the observation and transition equations, given a random initial state draw and random disturbance draws.
Generated vector of states by iterating on the transition equation, given a random initial state draw and random disturbance draws.
Randomly drawn state disturbance variates, used to construct generated_state and generated_obs.
Random draw of the measurement disturbance vector from its conditional distribution.
Random draw of the state vector from its conditional distribution.
Random draw of the state disturbance vector from its conditional distribution.