statsmodels.tsa.statespace.cfa_simulation_smoother.CFASimulationSmoother.posterior_mean

property CFASimulationSmoother.posterior_mean

Posterior mean of the states conditional on the data

Notes

$$\hat \alpha_t = E[\alpha_t \mid Y^n ]$$

This posterior mean is identical to the smoothed_state computed by the Kalman smoother.