statsmodels.tsa.statespace.kalman_filter.KalmanFilter.fixed_scale

KalmanFilter.fixed_scale(scale)

Context manager for fixing the scale when FILTER_CONCENTRATED is set

Parameters

scalenumeric

Scale of the model.

Notes

This a no-op if scale is None.

This context manager is most useful in models which are explicitly concentrating out the scale, so that the set of parameters they are estimating does not include the scale.