statsmodels.tsa.statespace.kalman_filter.PredictionResults

class statsmodels.tsa.statespace.kalman_filter.PredictionResults(results, start, end, nstatic, ndynamic, nforecast)

Results of in-sample and out-of-sample prediction for state space models generally

Parameters:

• results (FilterResults) – Output from filtering, corresponding to the prediction desired
• start (int) – Zero-indexed observation number at which to start forecasting, i.e., the first forecast will be at start.
• end (int) – Zero-indexed observation number at which to end forecasting, i.e., the last forecast will be at end.
• nstatic (int) – Number of in-sample static predictions (these are always the first elements of the prediction output).
• ndynamic (int) – Number of in-sample dynamic predictions (these always follow the static predictions directly, and are directly followed by the forecasts).
• nforecast (int) – Number of in-sample forecasts (these always follow the dynamic predictions directly).

npredictions

int – Number of observations in the predicted series; this is not necessarily the same as the number of observations in the original model from which prediction was performed.

start

int – Zero-indexed observation number at which to start prediction, i.e., the first predict will be at start; this is relative to the original model from which prediction was performed.

end

int – Zero-indexed observation number at which to end prediction, i.e., the last predict will be at end; this is relative to the original model from which prediction was performed.

nstatic

int – Number of in-sample static predictions.

ndynamic

int – Number of in-sample dynamic predictions.

nforecast

int – Number of in-sample forecasts.

endog

array – The observation vector.

design

array – The design matrix, \(Z\).

obs_intercept

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

obs_cov

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

transition

array – The transition matrix, \(T\).

state_intercept

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

selection

array – The selection matrix, \(R\).

state_cov

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

filtered_state

array – The filtered state vector at each time period.

filtered_state_cov

array – The filtered state covariance matrix at each time period.

predicted_state

array – The predicted state vector at each time period.

predicted_state_cov

array – The predicted state covariance matrix at each time period.

forecasts

array – The one-step-ahead forecasts of observations at each time period.

forecasts_error

array – The forecast errors at each time period.

forecasts_error_cov

array – The forecast error covariance matrices at each time period.

Notes

The provided ranges must be conformable, meaning that it must be that end - start == nstatic + ndynamic + nforecast.

This class is essentially a view to the FilterResults object, but returning the appropriate ranges for everything.

Methods

predict([start, end, dynamic])	In-sample and out-of-sample prediction for state space models generally
update_filter(kalman_filter)	Update the filter results
update_representation(model[, only_options])	Update the results to match a given model

Attributes

filter_attributes
kalman_gain	Kalman gain matrices
representation_attributes
standardized_forecasts_error	Standardized forecast errors