statsmodels.tsa.statespace.simulation_smoother.SimulationSmoothResults

class statsmodels.tsa.statespace.simulation_smoother.SimulationSmoothResults(model, simulation_smoother, random_state=None)

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.

• random_state ({None, int, Generator, RandomState}, optional) – If seed is None (or np.random), the numpy.random.RandomState singleton is used. If seed is an int, a new numpy.random.RandomState instance is used, seeded with seed. If seed is already a numpy.random.Generator or numpy.random.RandomState instance then that instance is used.

model

A Statespace representation

Type:

Representation

dtype

Datatype of representation matrices

Type:

dtype

prefix

BLAS prefix of representation matrices

Type:

str

simulation_output

Bitmask controlling simulation output.

Type:

int

simulate_state

Flag for if the state is included in simulation output.

Type:

bool

simulate_disturbance

Flag for if the state and observation disturbances are included in simulation output.

Type:

bool

simulate_all

Flag for if simulation output should include everything.

Type:

bool

generated_measurement_disturbance

Measurement disturbance variates used to genereate the observation vector.

Type:

ndarray

generated_state_disturbance

State disturbance variates used to genereate the state and observation vectors.

Type:

ndarray

generated_obs

Generated observation vector produced as a byproduct of simulation smoothing.

Type:

ndarray

generated_state

Generated state vector produced as a byproduct of simulation smoothing.

Type:

ndarray

simulated_state

Simulated state.

Type:

ndarray

simulated_measurement_disturbance

Simulated measurement disturbance.

Type:

ndarray

simulated_state_disturbance

Simulated state disturbance.

Type:

ndarray

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 disturbanc e vector from its conditional distribution.
simulation_output