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 updates_ix.
- Parameters:
- updates_ix
list List of indices (t, i), where t denotes a zero-indexed time location and i denotes a zero-indexed endog variable.
- t
int,optional A specific period for which to compute the gain. Cannot be used in combination with start or end.
- start
int,optional The start of the interval (inclusive) of gains to compute and return. Cannot be used in combination with the t argument. Default is nobs - 1.
- end
int,optional The end of the interval (exclusive) of gains to compute and return. Cannot be used in combination with the t argument. Default is nobs.
- extend_kwargs
dict,optional Keyword arguments containing updated state space system matrices for handling out-of-sample computations in time-varying state space models.
- updates_ix
- Returns:
- gain
ndarray Array of gain matrices. If the argument t is not provided, then it is shaped (end - start, k_states, len(updates_ix)), while if t is given then the first axis is dropped and the array is shaped (k_states, len(updates_ix)).
- gain