statsmodels.tsa.kalmanf.kalmanfilter.KalmanFilter.T
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classmethod KalmanFilter.T(params, r, k, p)[source] -
The coefficient matrix for the state vector in the state equation.
Its dimension is r+k x r+k.
Parameters: r : int
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.
k : int
The number of exogenous variables in the ARMA model, including the constant if appropriate.
p : int
The AR coefficient in an ARMA model.
References
Durbin and Koopman Section 3.7.
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