statsmodels.tsa.statespace.kalman_filter.KalmanFilter.initialize_known¶
- KalmanFilter.initialize_known(constant, stationary_cov)¶
Initialize the statespace model with known distribution for initial state.
These values are assumed to be known with certainty or else filled with parameters during, for example, maximum likelihood estimation.
- Parameters:
- constantarray_like
Known mean of the initial state vector.
- stationary_covarray_like
Known covariance matrix of the initial state vector.