statsmodels.tsa.statespace.dynamic_factor.DynamicFactorResults.factors¶
- property DynamicFactorResults.factors¶
Estimates of unobserved factors
- Returns:
- out
Bunch Has the following attributes shown in Notes.
- out
Notes
The output is a bunch of the following format:
filtered: a time series array with the filtered estimate of the component
filtered_cov: a time series array with the filtered estimate of the variance/covariance of the component
smoothed: a time series array with the smoothed estimate of the component
smoothed_cov: a time series array with the smoothed estimate of the variance/covariance of the component
offset: an integer giving the offset in the state vector where this component begins