KalmanFilter.Z()

statsmodels.tsa.kalmanf.kalmanfilter.KalmanFilter.Z

classmethod KalmanFilter.Z(r) [source]

Returns the Z selector matrix in the observation equation.

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.

Notes

Currently only returns a 1 x r vector [1,0,0,...0]. Will need to be generalized when the Kalman Filter becomes more flexible.

doc_statsmodels
2017-01-18 16:11:13
Comments
Leave a Comment

Please login to continue.