SARIMAX.initialize_known(initial_state, initial_state_cov)[source]

Initialize the statespace model with known distribution for initial state.

These values are assumed to be known with certainty or else filled with parameters during, for example, maximum likelihood estimation.

  • initial_state (array_like) – Known mean of the initial state vector.
  • initial_state_cov (array_like) – Known covariance matrix of the initial state vector.