Set the smoothing method
The smoothing method can be used to override the Kalman smoother approach used. By default, the Kalman smoother used depends on the Kalman filter method.
The smoothing method is defined by a collection of boolean flags, and is internally stored as a bitmask. The methods available are:
Practically speaking, these methods should all produce the same output but different computational implications, numerical stability implications, or internal timing assumptions.
Note that only the first method is available if using a Scipy version older than 0.16.
If the bitmask is set directly via the
smooth_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 filter method may also be specified by directly modifying the class attributes which are defined similarly to the keyword arguments.
The default filtering method is SMOOTH_CONVENTIONAL.
>>> mod = sm.tsa.statespace.SARIMAX(range(10)) >>> mod.smooth_method 1 >>> mod.filter_conventional True >>> mod.filter_univariate = True >>> mod.smooth_method 17 >>> mod.set_smooth_method(filter_univariate=False, filter_collapsed=True) >>> mod.smooth_method 33 >>> mod.set_smooth_method(smooth_method=1) >>> mod.filter_conventional True >>> mod.filter_univariate False >>> mod.filter_collapsed False >>> mod.filter_univariate = True >>> mod.smooth_method 17
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© 2006 Jonathan E. Taylor
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