KalmanFilter.R()

statsmodels.tsa.kalmanf.kalmanfilter.KalmanFilter.R

classmethod KalmanFilter.R(params, r, k, q, p) [source]

The coefficient matrix for the state vector in the observation equation.

Its dimension is r+k x 1.

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. q : int The MA order in an ARMA model. p : int The AR order in an ARMA model.

References

Durbin and Koopman Section 3.7.