statsmodels.tsa.kalmanf.kalmanfilter.KalmanFilter.R¶

method

classmethod KalmanFilter.R(params, r, k, q, p)[source]

The coefficient matrix for the state vector in the observation equation.

Its dimension is r+k x 1.

Parameters
rint

In the context of the ARMA model r is max(p,q+1) where p is the AR order and q is the MA order.

kint

The number of exogenous variables in the ARMA model, including the constant if appropriate.

qint

The MA order in an ARMA model.

pint

The AR order in an ARMA model.

References

Durbin and Koopman Section 3.7.