statsmodels.tsa.statespace.simulation_smoother.SimulationSmoother.smooth

SimulationSmoother.smooth(smoother_output=None, smooth_method=None, results=None, run_filter=True, prefix=None, complex_step=False, update_representation=True, update_filter=True, update_smoother=True, **kwargs)

Apply the Kalman smoother to the statespace model.

Parameters:
smoother_outputint, optional

Determines which Kalman smoother output calculate. Default is all (including state, disturbances, and all covariances).

resultsclass or object, optional

If a class, then that class is instantiated and returned with the result of both filtering and smoothing. If an object, then that object is updated with the smoothing data. If None, then a SmootherResults object is returned with both filtering and smoothing results.

run_filterbool, optional

Whether or not to run the Kalman filter prior to smoothing. Default is True.

prefixstr

The prefix of the datatype. Usually only used internally.

Returns:
SmootherResults object

Last update: Jun 14, 2024