KalmanFilter.set_stability_method(stability_method=None, **kwargs)
[source]
Set the numerical stability method
The Kalman filter is a recursive algorithm that may in some cases suffer issues with numerical stability. The stability method controls what, if any, measures are taken to promote stability.
Parameters: |
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The stability method is defined by a collection of boolean flags, and is internally stored as a bitmask. The methods available are:
If the bitmask is set directly via the stability_method
argument, then the full method must be provided.
If keyword arguments are used to set individual boolean flags, then the lowercase of the method must be used as an argument name, and the value is the desired value of the boolean flag (True or False).
Note that the stability method may also be specified by directly modifying the class attributes which are defined similarly to the keyword arguments.
The default stability method is STABILITY_FORCE_SYMMETRY
>>> mod = sm.tsa.statespace.SARIMAX(range(10)) >>> mod.ssm.stability_method 1 >>> mod.ssm.stability_force_symmetry True >>> mod.ssm.stability_force_symmetry = False >>> mod.ssm.stability_method 0
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© 2006 Jonathan E. Taylor
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http://www.statsmodels.org/stable/generated/statsmodels.tsa.statespace.kalman_filter.KalmanFilter.set_stability_method.html