statsmodels.tsa.statespace.simulation_smoother.SimulationSmoothResults.simulated_state_disturbance

property SimulationSmoothResults.simulated_state_disturbance

Random draw of the state disturbanc e vector from its conditional distribution.

Notes

\[\eta ~ N(\hat \eta, Var(\hat \eta \mid Y_n))\]

Last update: Dec 23, 2024