statsmodels.tsa.statespace.kalman_smoother.KalmanSmoother.initialize_approximate_diffuse

method

KalmanSmoother.initialize_approximate_diffuse(variance=None)

Initialize the statespace model with approximate diffuse values.

Rather than following the exact diffuse treatment (which is developed for the case that the variance becomes infinitely large), this assigns an arbitrary large number for the variance.

Parameters

variancefloat, optional

The variance for approximating diffuse initial conditions. Default is 1e6.