statsmodels.tsa.statespace.kalman_filter.KalmanFilter.initialize_known

KalmanFilter.initialize_known(constant, stationary_cov)

Initialize the statespace model with a known distribution for the initial state

These values are assumed to be known with certainty or else filled with parameters during, for example, maximum likelihood estimation.

Parameters:

constantarray_like

Known mean of the initial state vector.

stationary_covarray_like

Known covariance matrix of the initial state vector.