statsmodels.tsa.statespace.simulation_smoother.SimulationSmoothResults.generated_obs

property SimulationSmoothResults.generated_obs

Generated vector of observations by iterating on the observation and transition equations, given a random initial state draw and random disturbance draws.

Notes

\[y_t^+ = d_t + Z_t \alpha_t^+ + \varepsilon_t^+\]

Last update: Feb 14, 2024