statsmodels.tsa.statespace.representation.FrozenRepresentation¶

class statsmodels.tsa.statespace.representation.FrozenRepresentation(model)[source]¶

Frozen Statespace Model

Takes a snapshot of a Statespace model.

Parameters:¶

model : Representation¶

A Statespace representation

nobs¶

Number of observations.

Type:¶

int

k_endog¶

The dimension of the observation series.

Type:¶

int

k_states¶

The dimension of the unobserved state process.

Type:¶

int

k_posdef¶

The dimension of a guaranteed positive definite covariance matrix describing the shocks in the measurement equation.

Type:¶

int

dtype¶

Datatype of representation matrices

Type:¶

dtype

prefix¶

BLAS prefix of representation matrices

Type:¶

str

shapes¶

A dictionary recording the shapes of each of the representation matrices as tuples.

Type:¶

dictionary of name:tuple

endog¶

The observation vector.

Type:¶

ndarray

design¶

The design matrix, \(Z\).

Type:¶

ndarray

obs_intercept¶

The intercept for the observation equation, \(d\).

Type:¶

ndarray

obs_cov¶

The covariance matrix for the observation equation \(H\).

Type:¶

ndarray

transition¶

The transition matrix, \(T\).

Type:¶

ndarray

state_intercept¶

The intercept for the transition equation, \(c\).

Type:¶

ndarray

selection¶

The selection matrix, \(R\).

Type:¶

ndarray

state_cov¶

The covariance matrix for the state equation \(Q\).

Type:¶

ndarray

missing¶

An array of the same size as endog, filled with boolean values that are True if the corresponding entry in endog is NaN and False otherwise.

Type:¶

array of bool

nmissing¶

An array of size nobs, where the ith entry is the number (between 0 and k_endog) of NaNs in the ith row of the endog array.

Type:¶

array of int

time_invariant¶

Whether or not the representation matrices are time-invariant

Type:¶

bool

initialization¶

Kalman filter initialization method.

Type:¶

Initialization object

initial_state¶

The state vector used to initialize the Kalamn filter.

Type:¶

array_like

initial_state_cov¶

The state covariance matrix used to initialize the Kalamn filter.

Type:¶

array_like

Methods

update_representation(model)

Update model Representation