statsmodels.tsa.statespace.representation.Representation.initialize_known

Representation.initialize_known(initial_state, initial_state_cov)

Initialize the statespace model with known distribution for initial state.

These values are assumed to be known with certainty or else filled with parameters during, for example, maximum likelihood estimation.

Parameters:

initial_state : array_like

Known mean of the initial state vector.

initial_state_cov : array_like

Known covariance matrix of the initial state vector.