statsmodels.regression.recursive_ls.RecursiveLS.filter

RecursiveLS.filter(return_ssm=False, **kwargs)

Kalman filtering

Parameters

paramsarray_like

Array of parameters at which to evaluate the loglikelihood function.

transformedbool, optional

Whether or not params is already transformed. Default is True.

return_ssmbool,optional

Whether or not to return only the state space output or a full results object. Default is to return a full results object.

cov_typestr, optional

See MLEResults.fit for a description of covariance matrix types for results object.

cov_kwdsdict or None, optional

See MLEResults.get_robustcov_results for a description required keywords for alternative covariance estimators

low_memorybool, optional

If set to True, techniques are applied to substantially reduce memory usage. If used, some features of the results object will not be available (including in-sample prediction), although out-of-sample forecasting is possible. Default is False.

**kwargs

Additional keyword arguments to pass to the Kalman filter. See KalmanFilter.filter for more details.