KalmanSmoother.smooth(smoother_output=None, smooth_method=None, results=None, run_filter=True, prefix=None, complex_step=False, **kwargs) [source]

Apply the Kalman smoother to the statespace model.

  • smoother_output (int, optional) – Determines which Kalman smoother output calculate. Default is all (including state, disturbances, and all covariances).
  • results (class or object, optional) – If a class, then that class is instantiated and returned with the result of both filtering and smoothing. If an object, then that object is updated with the smoothing data. If None, then a SmootherResults object is returned with both filtering and smoothing results.
  • run_filter (bool, optional) – Whether or not to run the Kalman filter prior to smoothing. Default is True.
  • prefix (string) – The prefix of the datatype. Usually only used internally.
Return type:

SmootherResults object

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© 2006 Jonathan E. Taylor
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