statsmodels.regression.recursive_ls.RecursiveLS.set_inversion_method

RecursiveLS.set_inversion_method(inversion_method=None, **kwargs)

Set the inversion method

The Kalman filter may contain one matrix inversion: that of the forecast error covariance matrix. The inversion method controls how and if that inverse is performed.

Parameters:

• inversion_method (integer, optional) – Bitmask value to set the inversion method to. See notes for details.
• **kwargs – Keyword arguments may be used to influence the inversion method by setting individual boolean flags. See notes for details.

Notes

This method is rarely used. See the corresponding function in the KalmanFilter class for details.