statsmodels.regression.recursive_ls.RecursiveLSResults.recursive_coefficients¶

property RecursiveLSResults.recursive_coefficients¶

Estimates of regression coefficients, recursively estimated

Returns:¶

out: Bunch

Has the following attributes:

• filtered: a time series array with the filtered estimate of

  the component

• filtered_cov: a time series array with the filtered estimate of

  the variance/covariance of the component

• smoothed: a time series array with the smoothed estimate of

  the component

• smoothed_cov: a time series array with the smoothed estimate of

  the variance/covariance of the component

• offset: an integer giving the offset in the state vector where

  this component begins