statsmodels.tsa.statespace.kalman_smoother.SmootherResults.smoothed_state_gain

SmootherResults.smoothed_state_gain(updates_ix, t=None, start=None, end=None, extend_kwargs=None)[source]

Cov(tilde alpha_{t}, I) Var(I, I)^{-1}

where I is a vector of forecast errors associated with update_indices.

Parameters:
updates_ixlist

List of indices (t, i), where t denotes a zero-indexed time location and i denotes a zero-indexed endog variable.


Last update: May 25, 2024