statsmodels.tsa.kalmanf.kalmanfilter.KalmanFilter.T

classmethod KalmanFilter.T(params, r, k, p)

The coefficient matrix for the state vector in the state equation.

Its dimension is r+k x r+k.

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.
• 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.

References

Durbin and Koopman Section 3.7.