statsmodels.tsa.statespace.cfa_simulation_smoother.CFASimulationSmoother.posterior_cov

property CFASimulationSmoother.posterior_cov

Posterior covariance of the states conditional on the data

Warning

The matrix computed when accessing this property can be extremely large: it is shaped (nobs * k_states, nobs * k_states). In most cases, it is better to use the posterior_cov_inv_chol_sparse property if possible, which holds in sparse diagonal banded storage the Cholesky factor of the inverse of the posterior covariance matrix.