statsmodels.tsa.statespace.representation.FrozenRepresentation

class statsmodels.tsa.statespace.representation.FrozenRepresentation(model)[source]

Frozen Statespace Model

Takes a snapshot of a Statespace model.

Parameters

model (Representation) – A Statespace representation

nobs

Number of observations.

Type

int

k_endog

The dimension of the observation series.

Type

int

k_states

The dimension of the unobserved state process.

Type

int

k_posdef

The dimension of a guaranteed positive definite covariance matrix describing the shocks in the measurement equation.

Type

int

dtype

Datatype of representation matrices

Type

dtype

prefix

BLAS prefix of representation matrices

Type

str

shapes

A dictionary recording the shapes of each of the representation matrices as tuples.

Type

dictionary of name:tuple

endog

The observation vector.

Type

array

design

The design matrix, \(Z\).

Type

array

obs_intercept

The intercept for the observation equation, \(d\).

Type

array

obs_cov

The covariance matrix for the observation equation \(H\).

Type

array

transition

The transition matrix, \(T\).

Type

array

state_intercept

The intercept for the transition equation, \(c\).

Type

array

selection

The selection matrix, \(R\).

Type

array

state_cov

The covariance matrix for the state equation \(Q\).

Type

array

missing

An array of the same size as endog, filled with boolean values that are True if the corresponding entry in endog is NaN and False otherwise.

Type

array of bool

nmissing

An array of size nobs, where the ith entry is the number (between 0 and k_endog) of NaNs in the ith row of the endog array.

Type

array of int

time_invariant

Whether or not the representation matrices are time-invariant

Type

bool

initialization

Kalman filter initialization method.

Type

Initialization object

initial_state

The state vector used to initialize the Kalamn filter.

Type

array_like

initial_state_cov

The state covariance matrix used to initialize the Kalamn filter.

Type

array_like

Methods

update_representation(model)