KalmanFilter.T()

statsmodels.tsa.kalmanf.kalmanfilter.KalmanFilter.T

classmethod KalmanFilter.T(params, r, k, p) [source]

The coefficient matrix for the state vector in the state equation.

Its dimension is r+k x r+k.

Parameters:

Parameters:	r : int In the context of the ARMA model r is max(p,q+1) where p is the AR order and q is the MA order. k : int The number of exogenous variables in the ARMA model, including the constant if appropriate. p : int The AR coefficient in an ARMA model.

r : int

In the context of the ARMA model r is max(p,q+1) where p is the AR order and q is the MA order.

k : int

The number of exogenous variables in the ARMA model, including the constant if appropriate.

p : int

The AR coefficient in an ARMA model.

Durbin and Koopman Section 3.7.

© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.tsa.kalmanf.kalmanfilter.KalmanFilter.T.html