statsmodels.tsa.statespace.simulation_smoother.SimulationSmoother.set_filter_timing¶
-
SimulationSmoother.
set_filter_timing
(alternate_timing=None, **kwargs)¶ Set the filter timing convention
By default, the Kalman filter follows Durbin and Koopman, 2012, in initializing the filter with predicted values. Kim and Nelson, 1999, instead initialize the filter with filtered values, which is essentially just a different timing convention.
- Parameters
- alternate_timing
int
,optional
Whether or not to use the alternate timing convention. Default is unspecified.
- **kwargs
Keyword arguments may be used to influence the memory conservation method by setting individual boolean flags. See notes for details.
- alternate_timing