MLEModel.filter()
statsmodels.tsa.statespace.mlemodel.MLEModel.filter
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MLEModel.filter(params, transformed=True, complex_step=False, cov_type=None, cov_kwds=None, return_ssm=False, results_class=None, results_wrapper_class=None, **kwargs)
[source] -
Kalman filtering
Parameters: params : array_like
Array of parameters at which to evaluate the loglikelihood function.
transformed : boolean, optional
Whether or not
params
is already transformed. Default is True.return_ssm : boolean,optional
Whether or not to return only the state space output or a full results object. Default is to return a full results object.
cov_type : str, optional
See
MLEResults.fit
for a description of covariance matrix types for results object.cov_kwds : dict or None, optional
See
MLEResults.get_robustcov_results
for a description required keywords for alternative covariance estimators**kwargs
Additional keyword arguments to pass to the Kalman filter. See
KalmanFilter.filter
for more details.
© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.tsa.statespace.mlemodel.MLEModel.filter.html