statsmodels.tsa.statespace.simulation_smoother.SimulationSmoothResults

class statsmodels.tsa.statespace.simulation_smoother.SimulationSmoothResults(model, simulation_smoother)[source]

Results from applying the Kalman smoother and/or filter to a state space model.

Parameters:

model : Representation

A Statespace representation

simulation_smoother : {{prefix}}SimulationSmoother object

The Cython simulation smoother object with which to simulation smooth.

Attributes

generated_measurement_disturbance Randomly drawn measurement disturbance variates
generated_state_disturbance Randomly drawn state disturbance variates, used to construct generated_state and generated_obs.
generated_obs Generated vector of observations by iterating on the observation and transition equations, given a random initial state draw and random disturbance draws.
generated_state Generated vector of states by iterating on the transition equation, given a random initial state draw and random disturbance draws.
simulated_state Random draw of the state vector from its conditional distribution.
simulated_measurement_disturbance Random draw of the measurement disturbance vector from its conditional distribution.
simulated_state_disturbance Random draw of the state disturbance vector from its conditional distribution.
model (Representation) A Statespace representation
dtype (dtype) Datatype of representation matrices
prefix (str) BLAS prefix of representation matrices
simulation_output (int) Bitmask controlling simulation output.
simulate_state (bool) Flag for if the state is included in simulation output.
simulate_disturbance (bool) Flag for if the state and observation disturbances are included in simulation output.
simulate_all (bool) Flag for if simulation output should include everything.

Methods

simulate([simulation_output, …]) Perform simulation smoothing

Methods

simulate([simulation_output, …]) Perform simulation smoothing

Properties

generated_measurement_disturbance Randomly drawn measurement disturbance variates
generated_obs Generated vector of observations by iterating on the observation and transition equations, given a random initial state draw and random disturbance draws.
generated_state Generated vector of states by iterating on the transition equation, given a random initial state draw and random disturbance draws.
generated_state_disturbance Randomly drawn state disturbance variates, used to construct generated_state and generated_obs.
simulate_all
simulate_disturbance
simulate_state
simulated_measurement_disturbance Random draw of the measurement disturbance vector from its conditional distribution.
simulated_state Random draw of the state vector from its conditional distribution.
simulated_state_disturbance Random draw of the state disturbance vector from its conditional distribution.
simulation_output