statsmodels.tsa.statespace.kalman_filter.KalmanFilter.set_filter_timing

KalmanFilter.set_filter_timing(alternate_timing=None, **kwargs)

Set the filter timing convention

By default, the Kalman filter follows Durbin and Koopman, 2012, in initializing the filter with predicted values. Kim and Nelson, 1999, instead initialize the filter with filtered values, which is essentially just a different timing convention.

Parameters:

• alternate_timing (integer, optional) – Whether or not to use the alternate timing convention. Default is unspecified.
• **kwargs – Keyword arguments may be used to influence the memory conservation method by setting individual boolean flags. See notes for details.