statsmodels.tsa.statespace.simulation_smoother.SimulationSmoothResults

class statsmodels.tsa.statespace.simulation_smoother.SimulationSmoothResults(model, simulation_smoother)[source]

Results from applying the Kalman smoother and/or filter to a state space model.

Parameters
modelRepresentation

A Statespace representation

simulation_smoother{{prefix}}SimulationSmoother object

The Cython simulation smoother object with which to simulation smooth.

Attributes
modelRepresentation

A Statespace representation

dtypedtype

Datatype of representation matrices

prefixstr

BLAS prefix of representation matrices

simulation_outputint

Bitmask controlling simulation output.

simulate_statebool

Flag for if the state is included in simulation output.

simulate_disturbancebool

Flag for if the state and observation disturbances are included in simulation output.

simulate_allbool

Flag for if simulation output should include everything.

generated_measurement_disturbancendarray

Randomly drawn measurement disturbance variates

generated_state_disturbancendarray

Randomly drawn state disturbance variates, used to construct generated_state and generated_obs.

generated_obsndarray

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

generated_statendarray

Generated vector of states by iterating on the transition equation, given a random initial state draw and random disturbance draws.

simulated_statendarray

Random draw of the state vector from its conditional distribution.

simulated_measurement_disturbancendarray

Random draw of the measurement disturbance vector from its conditional distribution.

simulated_state_disturbancendarray

Random draw of the state disturbance vector from its conditional distribution.

Methods

simulate([simulation_output, ...])

Perform simulation smoothing

Properties

generated_measurement_disturbance

Randomly drawn measurement disturbance variates

generated_obs

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

generated_state

Generated vector of states by iterating on the transition equation, given a random initial state draw and random disturbance draws.

generated_state_disturbance

Randomly drawn state disturbance variates, used to construct generated_state and generated_obs.

simulate_all

simulate_disturbance

simulate_state

simulated_measurement_disturbance

Random draw of the measurement disturbance vector from its conditional distribution.

simulated_state

Random draw of the state vector from its conditional distribution.

simulated_state_disturbance

Random draw of the state disturbance vector from its conditional distribution.

simulation_output