statsmodels.tsa.statespace.dynamic_factor.DynamicFactorResults.factors¶
attribute
-
DynamicFactorResults.
factors
¶ Estimates of unobserved factors
Returns: out : Bunch
Has the following attributes shown in Notes.
Notes
The output is a bunch of the following format:
- filtered: a time series array with the filtered estimate of the component
- filtered_cov: a time series array with the filtered estimate of the variance/covariance of the component
- smoothed: a time series array with the smoothed estimate of the component
- smoothed_cov: a time series array with the smoothed estimate of the variance/covariance of the component
- offset: an integer giving the offset in the state vector where this component begins