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


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 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


Additional keyword arguments to pass to the Kalman filter. See KalmanFilter.filter for more details.