DynamicFactor.smooth(params, transformed=True, includes_fixed=False, complex_step=False, cov_type=None, cov_kwds=None, return_ssm=False, results_class=None, results_wrapper_class=None, **kwargs)

Kalman smoothing


Array of parameters at which to evaluate the loglikelihood function.

transformedbool, optional

Whether or not params is already transformed. Default is True.


Whether or not to return only the state space output or a full results object. Default is to return a full results object.

cov_typestr, optional

See for a description of covariance matrix types for results object.

cov_kwdsdict or None, optional

See MLEResults.get_robustcov_results for a description required keywords for alternative covariance estimators


Additional keyword arguments to pass to the Kalman filter. See KalmanFilter.filter for more details.

Last update: Dec 14, 2023