class statsmodels.tsa.kalmanf.kalmanfilter.KalmanFilter
[source]
Kalman Filter code intended for use with the ARMA model.
The notation for the state-space form follows Durbin and Koopman (2001).
The observation equations is
The state equation is
For the present purposed epsilon_{t} is assumed to always be zero.
R (params, r, k, q, p) | The coefficient matrix for the state vector in the observation equation. |
T (params, r, k, p) | The coefficient matrix for the state vector in the state equation. |
Z (r) | Returns the Z selector matrix in the observation equation. |
geterrors (y, k, k_ar, k_ma, k_lags, nobs, …) | Returns just the errors of the Kalman Filter |
loglike (params, arma_model[, set_sigma2]) | The loglikelihood for an ARMA model using the Kalman Filter recursions. |
© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.tsa.kalmanf.kalmanfilter.KalmanFilter.html