statsmodels.tsa.statespace.dynamic_factor.DynamicFactor.smooth
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DynamicFactor.smooth(params, transformed=True, complex_step=False, cov_type=None, cov_kwds=None, return_ssm=False, results_class=None, results_wrapper_class=None, **kwargs)
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Kalman smoothing
Parameters: |
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params (array_like) – Array of parameters at which to evaluate the loglikelihood function.
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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.
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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. |