statsmodels.tsa.statespace.simulation_smoother.SimulationSmoothResults.generated_measurement_disturbance¶
- property SimulationSmoothResults.generated_measurement_disturbance¶
Randomly drawn measurement disturbance variates
Used to construct generated_obs.
Notes
\[\varepsilon_t^+ ~ N(0, H_t)\]If disturbance_variates were provided to the simulate() method, then this returns those variates (which were N(0,1)) transformed to the distribution above.
Last update:
Dec 23, 2024