statsmodels.tsa.statespace.initialization.Initialization.set

Initialization.set(index, initialization_type, constant=None, stationary_cov=None, approximate_diffuse_variance=None)

Set initialization for states, either globally or for a block

Parameters:

indextuple or int or None

Arguments used to create a slice of states. Can be a tuple with (start, stop) (note that for slice, stop is not inclusive), or an integer (to select a specific state), or None (to select all the states).

initialization_typestr

The type of initialization used for the states selected by index. Must be one of ‘known’, ‘diffuse’, ‘approximate_diffuse’, or ‘stationary’.

constantarray_like, optional

A vector of constant values, denoted \(a\). Most often used with ‘known’ initialization, but may also be used with ‘approximate_diffuse’ (although it will then likely have little effect).

stationary_covarray_like, optional

The covariance matrix of the stationary part, denoted \(Q_0\). Only used with ‘known’ initialization.

approximate_diffuse_variancefloat, optional

The approximate diffuse variance, denoted \(\kappa\). Only applicable with ‘approximate_diffuse’ initialization. Default is 1e6.