T(params, r, k, p)¶
The coefficient matrix for the state vector in the state equation.
Its dimension is r+k x r+k.
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.
k : int
The number of exogenous variables in the ARMA model, including the constant if appropriate.
p : int
The AR coefficient in an ARMA model.
Durbin and Koopman Section 3.7.