statsmodels.tsa.statespace.kalman_smoother.KalmanSmoother.smooth

KalmanSmoother.smooth(smoother_output=None, smooth_method=None, results=None, run_filter=True, prefix=None, complex_step=False, **kwargs)

Apply the Kalman smoother to the statespace model.

Parameters:

• smoother_output (int, optional) – Determines which Kalman smoother output calculate. Default is all (including state, disturbances, and all covariances).
• results (class or object, optional) – If a class, then that class is instantiated and returned with the result of both filtering and smoothing. If an object, then that object is updated with the smoothing data. If None, then a SmootherResults object is returned with both filtering and smoothing results.
• run_filter (bool, optional) – Whether or not to run the Kalman filter prior to smoothing. Default is True.
• prefix (string) – The prefix of the datatype. Usually only used internally.

Returns:

Return type:

SmootherResults object