statsmodels.tsa.statespace.representation.FrozenRepresentation¶
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class
statsmodels.tsa.statespace.representation.
FrozenRepresentation
(model)[source]¶ Frozen Statespace Model
Takes a snapshot of a Statespace model.
Parameters: model (Representation) – A Statespace representation -
k_posdef
¶ The dimension of a guaranteed positive definite covariance matrix describing the shocks in the measurement equation.
Type: int
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dtype
¶ Datatype of representation matrices
Type: dtype
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shapes
¶ A dictionary recording the shapes of each of the representation matrices as tuples.
Type: dictionary of name:tuple
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endog
¶ The observation vector.
Type: array
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design
¶ The design matrix, \(Z\).
Type: array
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obs_intercept
¶ The intercept for the observation equation, \(d\).
Type: array
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obs_cov
¶ The covariance matrix for the observation equation \(H\).
Type: array
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transition
¶ The transition matrix, \(T\).
Type: array
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state_intercept
¶ The intercept for the transition equation, \(c\).
Type: array
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selection
¶ The selection matrix, \(R\).
Type: array
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state_cov
¶ The covariance matrix for the state equation \(Q\).
Type: array
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missing
¶ An array of the same size as endog, filled with boolean values that are True if the corresponding entry in endog is NaN and False otherwise.
Type: array of bool
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nmissing
¶ An array of size nobs, where the ith entry is the number (between 0 and k_endog) of NaNs in the ith row of the endog array.
Type: array of int
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initial_state
¶ The state vector used to initialize the Kalamn filter.
Type: array_like
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initial_state_cov
¶ The state covariance matrix used to initialize the Kalamn filter.
Type: array_like
Methods
update_representation
(model)-