statsmodels.tsa.kalmanf.kalmanfilter.KalmanFilter¶

class statsmodels.tsa.kalmanf.kalmanfilter.KalmanFilter[source]¶

Kalman Filter code intended for use with the ARMA model.

Notes

The notation for the state-space form follows Durbin and Koopman (2001).

The observation equations is

$y_{t} = Z_{t}\alpha_{t} + \epsilon_{t}$

The state equation is

$\alpha_{t+1} = T_{t}\alpha_{t} + R_{t}\eta_{t}$

For the present purposed epsilon_{t} is assumed to always be zero.

Methods

`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.