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.