statsmodels.tsa.statespace.kalman_smoother.KalmanSmoother.initialize_known¶
-
KalmanSmoother.
initialize_known
(constant, stationary_cov)¶ Initialize the statespace model with known distribution for initial state.
These values are assumed to be known with certainty or else filled with parameters during, for example, maximum likelihood estimation.
- Parameters
- constantarray_like
Known mean of the initial state vector.
- stationary_covarray_like
Known covariance matrix of the initial state vector.