statsmodels.tsa.statespace.dynamic_factor.DynamicFactor.clone

DynamicFactor.clone(endog, exog=None, **kwargs)[source]

Clone state space model with new data and optionally new specification

Parameters:
endogarray_like

The observed time-series process \(y\)

k_statesint

The dimension of the unobserved state process.

exogarray_like, optional

Array of exogenous regressors, shaped nobs x k. Default is no exogenous regressors.

kwargs

Keyword arguments to pass to the new model class to change the model specification.

Returns:
modelMLEModel subclass

Notes

This method must be implemented


Last update: Jul 16, 2024