statsmodels.tsa.statespace.simulation_smoother.SimulationSmoothResults.generated_state

property SimulationSmoothResults.generated_state

Generated vector of states by iterating on the transition equation, given a random initial state draw and random disturbance draws.

Notes

$$\alpha_{t+1}^+ = c_t + T_t \alpha_t^+ + \eta_t^+$$