statsmodels.tsa.statespace.dynamic_factor.DynamicFactorResults.factors

property DynamicFactorResults.factors

Estimates of unobserved factors

Returns

outBunch

Has the following attributes shown in Notes.

Notes

The output is a bunch of the following format:

• filtered: a time series array with the filtered estimate of the component

• filtered_cov: a time series array with the filtered estimate of the variance/covariance of the component

• smoothed: a time series array with the smoothed estimate of the component

• smoothed_cov: a time series array with the smoothed estimate of the variance/covariance of the component

• offset: an integer giving the offset in the state vector where this component begins