statsmodels.tsa.statespace.dynamic_factor.DynamicFactor.clone¶

DynamicFactor.clone(endog, exog=None, **kwargs)[source]¶

Clone state space model with new data and optionally new specification

Parameters:¶

endogarray_like

The observed time-series process \(y\)

k_statesint

The dimension of the unobserved state process.

exogarray_like, optional

Array of exogenous regressors, shaped nobs x k. Default is no exogenous regressors.

kwargs

Keyword arguments to pass to the new model class to change the model specification.

Returns:¶

modelMLEModel subclass

Notes

This method must be implemented