statsmodels.tsa.statespace.kalman_smoother.KalmanSmoother.set_filter_method¶
- KalmanSmoother.set_filter_method(filter_method=None, **kwargs)¶
Set the filtering method
The filtering method controls aspects of which Kalman filtering approach will be used.
- Parameters:
- filter_method
int
,optional
Bitmask value to set the filter method to. See notes for details.
- **kwargs
Keyword arguments may be used to influence the filter method by setting individual boolean flags. See notes for details.
- filter_method
Notes
The filtering method is defined by a collection of boolean flags, and is internally stored as a bitmask. The methods available are:
- FILTER_CONVENTIONAL
Conventional Kalman filter.
- FILTER_UNIVARIATE
Univariate approach to Kalman filtering. Overrides conventional method if both are specified.
- FILTER_COLLAPSED
Collapsed approach to Kalman filtering. Will be used in addition to conventional or univariate filtering.
- FILTER_CONCENTRATED
Use the concentrated log-likelihood function. Will be used in addition to the other options.
Note that only the first method is available if using a Scipy version older than 0.16.
If the bitmask is set directly via the filter_method argument, then the full method must be provided.
If keyword arguments are used to set individual boolean flags, then the lowercase of the method must be used as an argument name, and the value is the desired value of the boolean flag (True or False).
Note that the filter method may also be specified by directly modifying the class attributes which are defined similarly to the keyword arguments.
The default filtering method is FILTER_CONVENTIONAL.
Examples
>>> mod = sm.tsa.statespace.SARIMAX(range(10)) >>> mod.ssm.filter_method 1 >>> mod.ssm.filter_conventional True >>> mod.ssm.filter_univariate = True >>> mod.ssm.filter_method 17 >>> mod.ssm.set_filter_method(filter_univariate=False, ... filter_collapsed=True) >>> mod.ssm.filter_method 33 >>> mod.ssm.set_filter_method(filter_method=1) >>> mod.ssm.filter_conventional True >>> mod.ssm.filter_univariate False >>> mod.ssm.filter_collapsed False >>> mod.ssm.filter_univariate = True >>> mod.ssm.filter_method 17