statsmodels.tsa.statespace.simulation_smoother.SimulationSmoother.simulation_smoother¶

SimulationSmoother.simulation_smoother(simulation_output=None, method='kfs', results_class=None, prefix=None, **kwargs)[source]¶

Retrieve a simulation smoother for the statespace model.

Parameters

simulation_outputint, optional: Determines which simulation smoother output is calculated. Default is all (including state and disturbances).
method{‘kfs’, ‘cfa’}, optional: Method for simulation smoothing. If method=’kfs’, then the simulation smoother is based on Kalman filtering and smoothing recursions. If method=’cfa’, then the simulation smoother is based on the Cholesky Factor Algorithm (CFA) approach. The CFA approach is not applicable to all state space models, but can be faster for the cases in which it is supported.
simulation_smooth_results_classclass, optional: Default results class to use to save output of simulation smoothing. Default is SimulationSmoothResults. If specified, class must extend from SimulationSmoothResults.
prefixstr: The prefix of the datatype. Usually only used internally.
**kwargs: Additional keyword arguments, used to set the simulation output. See set_simulation_output for more details.

Returns