statsmodels.tsa.statespace.kalman_smoother.KalmanSmoother.set_filter_timing¶
-
KalmanSmoother.set_filter_timing(alternate_timing=
None
, **kwargs)¶ Set the filter timing convention
By default, the Kalman filter follows Durbin and Koopman, 2012, in initializing the filter with predicted values. Kim and Nelson, 1999, instead initialize the filter with filtered values, which is essentially just a different timing convention.
Last update:
Dec 11, 2024