statsmodels.tsa.statespace.kalman_smoother.KalmanSmoother.set_smooth_method

method

KalmanSmoother.set_smooth_method(smooth_method=None, **kwargs)

Set the smoothing method

The smoothing method can be used to override the Kalman smoother approach used. By default, the Kalman smoother used depends on the Kalman filter method.

Parameters

smooth_methodinteger, optional

Bitmask value to set the filter method to. See notes for details.

**kwargs

Keyword arguments may be used to influence the filter method by setting individual boolean flags. See notes for details.

Notes

The smoothing method is defined by a collection of boolean flags, and is internally stored as a bitmask. The methods available are:

SMOOTH_CONVENTIONAL = 0x01

Default Kalman smoother, as presented in Durbin and Koopman, 2012 chapter 4.

SMOOTH_CLASSICAL = 0x02

Classical Kalman smoother, as presented in Anderson and Moore, 1979 or Durbin and Koopman, 2012 chapter 4.6.1.

SMOOTH_ALTERNATIVE = 0x04

Modified Bryson-Frazier Kalman smoother method; this is identical to the conventional method of Durbin and Koopman, 2012, except that an additional intermediate step is included.

SMOOTH_UNIVARIATE = 0x08

Univariate Kalman smoother, as presented in Durbin and Koopman, 2012 chapter 6, except with modified Bryson-Frazier timing.

Practically speaking, these methods should all produce the same output but different computational implications, numerical stability implications, or internal timing assumptions.

Note that only the first method is available if using a Scipy version older than 0.16.

If the bitmask is set directly via the smooth_method argument, then the full method must be provided.

If keyword arguments are used to set individual boolean flags, then the lowercase of the method must be used as an argument name, and the value is the desired value of the boolean flag (True or False).

Note that the filter method may also be specified by directly modifying the class attributes which are defined similarly to the keyword arguments.

The default filtering method is SMOOTH_CONVENTIONAL.

Examples

>>> mod = sm.tsa.statespace.SARIMAX(range(10))
>>> mod.smooth_method
1
>>> mod.filter_conventional
True
>>> mod.filter_univariate = True
>>> mod.smooth_method
17
>>> mod.set_smooth_method(filter_univariate=False,
                          filter_collapsed=True)
>>> mod.smooth_method
33
>>> mod.set_smooth_method(smooth_method=1)
>>> mod.filter_conventional
True
>>> mod.filter_univariate
False
>>> mod.filter_collapsed
False
>>> mod.filter_univariate = True
>>> mod.smooth_method
17