statsmodels.regression.recursive_ls.RecursiveLSResults.recursive_coefficients

attribute

RecursiveLSResults.recursive_coefficients

Estimates of regression coefficients, recursively estimated

Returns:

out: Bunch

Has the following attributes:

  • 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