statsmodels.tsa.statespace.simulation_smoother.SimulationSmoother.simulation_smoother

SimulationSmoother.simulation_smoother(simulation_output=None, method='kfs', results_class=None, prefix=None, **kwargs)

Retrieve a simulation smoother for the statespace model.

Parameters

simulation_outputint, optional

Determines which simulation smoother output is calculated. Default is all (including state and disturbances).

method{‘kfs’, ‘cfa’}, optional

Method for simulation smoothing. If method=’kfs’, then the simulation smoother is based on Kalman filtering and smoothing recursions. If method=’cfa’, then the simulation smoother is based on the Cholesky Factor Algorithm (CFA) approach. The CFA approach is not applicable to all state space models, but can be faster for the cases in which it is supported.

simulation_smooth_results_classclass, optional

Default results class to use to save output of simulation smoothing. Default is SimulationSmoothResults. If specified, class must extend from SimulationSmoothResults.

prefixstr

The prefix of the datatype. Usually only used internally.

**kwargs

Additional keyword arguments, used to set the simulation output. See set_simulation_output for more details.

Returns

SimulationSmoothResults