statsmodels.tsa.statespace.simulation_smoother.SimulationSmoothResults¶

class statsmodels.tsa.statespace.simulation_smoother.SimulationSmoothResults(model, simulation_smoother, random_state=None)[source]¶

Results from applying the Kalman smoother and/or filter to a state space model.

Parameters:¶

model : Representation¶: A Statespace representation
simulation_smoother : {{prefix}}SimulationSmoother object¶: The Cython simulation smoother object with which to simulation smooth.
random_state : {None, int, Generator, RandomState}, optional¶: If seed is None (or np.random), the numpy.random.RandomState singleton is used. If seed is an int, a new numpy.random.RandomState instance is used, seeded with seed. If seed is already a numpy.random.Generator or numpy.random.RandomState instance then that instance is used.

model¶

A Statespace representation

Type:¶: Representation

dtype¶

Datatype of representation matrices

Type:¶: dtype

prefix¶

BLAS prefix of representation matrices

Type:¶: str

simulation_output¶

Bitmask controlling simulation output.

Type:¶: int

simulate_state¶

Flag for if the state is included in simulation output.

Type:¶: bool

simulate_disturbance¶

Flag for if the state and observation disturbances are included in simulation output.

Type:¶: bool

simulate_all¶

Flag for if simulation output should include everything.

Type:¶: bool

generated_measurement_disturbance¶

Measurement disturbance variates used to genereate the observation vector.

Type:¶: ndarray

generated_state_disturbance¶

State disturbance variates used to genereate the state and observation vectors.

Type:¶: ndarray

generated_obs¶

Generated observation vector produced as a byproduct of simulation smoothing.

Type:¶: ndarray

generated_state¶

Generated state vector produced as a byproduct of simulation smoothing.

Type:¶: ndarray

simulated_state¶

Simulated state.

Type:¶: ndarray

simulated_measurement_disturbance¶

Simulated measurement disturbance.

Type:¶: ndarray

simulated_state_disturbance¶

Simulated state disturbance.

Type:¶: ndarray

Methods

`simulate`([simulation_output, ...])	Perform simulation smoothing

Properties

`generated_measurement_disturbance`	Randomly drawn measurement disturbance variates
`generated_obs`	Generated vector of observations by iterating on the observation and transition equations, given a random initial state draw and random disturbance draws.
`generated_state`	Generated vector of states by iterating on the transition equation, given a random initial state draw and random disturbance draws.
`generated_state_disturbance`	Randomly drawn state disturbance variates, used to construct generated_state and generated_obs.
`simulate_all`
`simulate_disturbance`
`simulate_state`
`simulated_measurement_disturbance`	Random draw of the measurement disturbance vector from its conditional distribution.
`simulated_state`	Random draw of the state vector from its conditional distribution.
`simulated_state_disturbance`	Random draw of the state disturbanc e vector from its conditional distribution.
`simulation_output`