RecursiveLS.filter(return_ssm=False, **kwargs) [source]

Kalman filtering

  • params (array_like) – Array of parameters at which to evaluate the loglikelihood function.
  • transformed (boolean, optional) – Whether or not params is already transformed. Default is True.
  • return_ssm (boolean,optional) – Whether or not to return only the state space output or a full results object. Default is to return a full results object.
  • cov_type (str, optional) – See MLEResults.fit for a description of covariance matrix types for results object.
  • cov_kwds (dict or None, optional) – See MLEResults.get_robustcov_results for a description required keywords for alternative covariance estimators
  • **kwargs – Additional keyword arguments to pass to the Kalman filter. See KalmanFilter.filter for more details.

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© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.