statsmodels.tsa.statespace.kalman_smoother.SmootherResults.smoothed_state_gain¶
-
SmootherResults.smoothed_state_gain(updates_ix, t=
None
, start=None
, end=None
, extend_kwargs=None
)[source]¶ Cov(tilde alpha_{t}, I) Var(I, I)^{-1}
where I is a vector of forecast errors associated with update_indices.
Last update:
Dec 16, 2024