statsmodels.tsa.statespace.simulation_smoother.SimulationSmoothResults¶
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class
statsmodels.tsa.statespace.simulation_smoother.
SimulationSmoothResults
(model, simulation_smoother)[source]¶ Results from applying the Kalman smoother and/or filter to a state space model.
Parameters: model : Representation
A Statespace representation
simulation_smoother : {{prefix}}SimulationSmoother object
The Cython simulation smoother object with which to simulation smooth.
Attributes
generated_measurement_disturbance
Randomly drawn measurement disturbance variates generated_state_disturbance
Randomly drawn state disturbance variates, used to construct generated_state and generated_obs. generated_obs
Generated vector of observations by iterating on the observation and transition equations, given a random initial state draw and random disturbance draws. generated_state
Generated vector of states by iterating on the transition equation, given a random initial state draw and random disturbance draws. simulated_state
Random draw of the state vector from its conditional distribution. simulated_measurement_disturbance
Random draw of the measurement disturbance vector from its conditional distribution. simulated_state_disturbance
Random draw of the state disturbance vector from its conditional distribution. model (Representation) A Statespace representation dtype (dtype) Datatype of representation matrices prefix (str) BLAS prefix of representation matrices simulation_output (int) Bitmask controlling simulation output. simulate_state (bool) Flag for if the state is included in simulation output. simulate_disturbance (bool) Flag for if the state and observation disturbances are included in simulation output. simulate_all (bool) Flag for if simulation output should include everything. Methods
simulate
([simulation_output, …])Perform simulation smoothing Methods
simulate
([simulation_output, …])Perform simulation smoothing Properties
generated_measurement_disturbance
Randomly drawn measurement disturbance variates generated_obs
Generated vector of observations by iterating on the observation and transition equations, given a random initial state draw and random disturbance draws. generated_state
Generated vector of states by iterating on the transition equation, given a random initial state draw and random disturbance draws. generated_state_disturbance
Randomly drawn state disturbance variates, used to construct generated_state and generated_obs. simulate_all
simulate_disturbance
simulate_state
simulated_measurement_disturbance
Random draw of the measurement disturbance vector from its conditional distribution. simulated_state
Random draw of the state vector from its conditional distribution. simulated_state_disturbance
Random draw of the state disturbance vector from its conditional distribution. simulation_output