statsmodels.tsa.statespace.sarimax.SARIMAX.initialize_state

SARIMAX.initialize_state(variance=None, complex_step=False)

Initialize state and state covariance arrays in preparation for the Kalman filter.

Parameters:

variance : float, optional

The variance for approximating diffuse initial conditions. Default can be found in the Representation class documentation.

Notes

Initializes the ARMA component of the state space to the typical stationary values and the other components as approximate diffuse.

Can be overridden be calling one of the other initialization methods before fitting the model.