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.
Last update:
Dec 23, 2024