statsmodels.tsa.statespace.kalman_smoother.KalmanSmoother.smooth#
- KalmanSmoother.smooth(smoother_output=None, smooth_method=None, results=None, run_filter=True, prefix=None, complex_step=False, update_representation=True, update_filter=True, update_smoother=True, **kwargs)[source]#
Apply the Kalman smoother to the statespace model.
- Parameters:
- smoother_output
int,optional Determines which Kalman smoother output to calculate. Default is all (including state, disturbances, and all covariances).
- smooth_method
int,optional Determines which Kalman smoothing approach to use. Default is the smoother method specified by smooth_method in the current state space model.
- results
classorobject,optional If a class, then that class is instantiated and returned with the result of both filtering and smoothing. If an object, then that object is updated with the smoothing data. If None, then a SmootherResults object is returned with both filtering and smoothing results.
- run_filterbool,
optional Whether or not to run the Kalman filter prior to smoothing. Default is True.
- prefix
str The prefix of the datatype. Usually only used internally.
- complex_stepbool,
optional Whether or not to compute the complex-step derivative. Default is False.
- update_representationbool,
optional Whether or not to update the state space representation with the current model’s parameters. Default is True.
- update_filterbool,
optional Whether or not to update the filter results in the results object with the output of the Kalman filter. Default is True.
- update_smootherbool,
optional Whether or not to update the smoother results in the results object with the output of the Kalman smoother. Default is True.
- **kwargs
Additional keyword arguments to pass to the Kalman filter. See KalmanFilter.filter for more details.
- smoother_output
- Returns: