statsmodels.tsa.kalmanf.kalmanfilter.KalmanFilter.T

method

classmethod KalmanFilter.T(params, r, k, p)

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

Its dimension is r+k x r+k.

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.

pint

The AR coefficient in an ARMA model.

References

Durbin and Koopman Section 3.7.