statsmodels.tsa.statespace.dynamic_factor_mq.DynamicFactorMQResults.factors

property DynamicFactorMQResults.factors

Estimates of unobserved factors.

Returns:
outBunch

Has the following attributes shown in Notes.

Notes

The output is a bunch of the following format:

  • filtered: a time series array with the filtered estimate of the component

  • filtered_cov: a time series array with the filtered estimate of the variance/covariance of the component

  • smoothed: a time series array with the smoothed estimate of the component

  • smoothed_cov: a time series array with the smoothed estimate of the variance/covariance of the component

  • offset: an integer giving the offset in the state vector where this component begins


Last update: May 14, 2024