classmethod KalmanFilter.Z(r)[source]

Returns the Z selector matrix in the observation equation.

Parameters:r (int) – In the context of the ARMA model r is max(p,q+1) where p is the AR order and q is the MA order.


Currently only returns a 1 x r vector [1,0,0,…0]. Will need to be generalized when the Kalman Filter becomes more flexible.