MLEModel.filter()

statsmodels.tsa.statespace.mlemodel.MLEModel.filter

MLEModel.filter(params, transformed=True, complex_step=False, cov_type=None, cov_kwds=None, return_ssm=False, results_class=None, results_wrapper_class=None, **kwargs) [source]

Kalman filtering

Parameters:

params : array_like Array of parameters at which to evaluate the loglikelihood function. transformed : boolean, optional Whether or not params is already transformed. Default is True. return_ssm : boolean,optional Whether or not to return only the state space output or a full results object. Default is to return a full results object. cov_type : str, optional See MLEResults.fit for a description of covariance matrix types for results object. cov_kwds : dict or None, optional See MLEResults.get_robustcov_results for a description required keywords for alternative covariance estimators **kwargs Additional keyword arguments to pass to the Kalman filter. See KalmanFilter.filter for more details.