statsmodels.tsa.statespace.simulation_smoother.SimulationSmoother.filter¶
- SimulationSmoother.filter(filter_method=None, inversion_method=None, stability_method=None, conserve_memory=None, filter_timing=None, tolerance=None, loglikelihood_burn=None, complex_step=False)¶
Apply the Kalman filter to the statespace model.
- Parameters:
- filter_method
int
,optional
Determines which Kalman filter to use. Default is conventional.
- inversion_method
int
,optional
Determines which inversion technique to use. Default is by Cholesky decomposition.
- stability_method
int
,optional
Determines which numerical stability techniques to use. Default is to enforce symmetry of the predicted state covariance matrix.
- conserve_memory
int
,optional
Determines what output from the filter to store. Default is to store everything.
- filter_timing
int
,optional
Determines the timing convention of the filter. Default is that from Durbin and Koopman (2012), in which the filter is initialized with predicted values.
- tolerance
float
,optional
The tolerance at which the Kalman filter determines convergence to steady-state. Default is 1e-19.
- loglikelihood_burn
int
,optional
The number of initial periods during which the loglikelihood is not recorded. Default is 0.
- filter_method
Notes
This function by default does not compute variables required for smoothing.