statsmodels.tsa.statespace.cfa_simulation_smoother.CFASimulationSmoother.posterior_mean¶

property CFASimulationSmoother.posterior_mean¶

Posterior mean of the states conditional on the data

Notes

$${\hat{\alpha }}_t=E[{\alpha }_t\mid Y^n]$$

This posterior mean is identical to the smoothed_state computed by the Kalman smoother.