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
 model
Representation
A Statespace representation
 simulation_smoother{{prefix}}SimulationSmoother object
The Cython simulation smoother object with which to simulation smooth.
 model
 Attributes
 model
Representation
A Statespace representation
 dtype
dtype
Datatype of representation matrices
 prefix
str
BLAS prefix of representation matrices
 simulation_output
int
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_disturbance
ndarray
Randomly drawn measurement disturbance variates
generated_state_disturbance
ndarray
Randomly drawn state disturbance variates, used to construct generated_state and generated_obs.
generated_obs
ndarray
Generated vector of observations by iterating on the observation and transition equations, given a random initial state draw and random disturbance draws.
generated_state
ndarray
Generated vector of states by iterating on the transition equation, given a random initial state draw and random disturbance draws.
simulated_state
ndarray
Random draw of the state vector from its conditional distribution.
simulated_measurement_disturbance
ndarray
Random draw of the measurement disturbance vector from its conditional distribution.
simulated_state_disturbance
ndarray
Random draw of the state disturbance vector from its conditional distribution.
 model
Methods
simulate
([simulation_output, …])Perform simulation smoothing
Properties
Randomly drawn measurement disturbance variates
Generated vector of observations by iterating on the observation and transition equations, given a random initial state draw and random disturbance draws.
Generated vector of states by iterating on the transition equation, given a random initial state draw and random disturbance draws.
Randomly drawn state disturbance variates, used to construct generated_state and generated_obs.
Random draw of the measurement disturbance vector from its conditional distribution.
Random draw of the state vector from its conditional distribution.
Random draw of the state disturbance vector from its conditional distribution.