statsmodels.tsa.statespace.representation.FrozenRepresentation

class statsmodels.tsa.statespace.representation.FrozenRepresentation(model)

Frozen Statespace Model

Takes a snapshot of a Statespace model.

Parameters

modelRepresentation

A Statespace representation

Attributes

nobsint

Number of observations.

k_endogint

The dimension of the observation series.

k_statesint

The dimension of the unobserved state process.

k_posdefint

The dimension of a guaranteed positive definite covariance matrix describing the shocks in the measurement equation.

dtypedtype

Datatype of representation matrices

prefixstr

BLAS prefix of representation matrices

shapesdictionary of name:tuple

A dictionary recording the shapes of each of the representation matrices as tuples.

endogarray

The observation vector.

designarray

The design matrix, \(Z\).

obs_interceptarray

The intercept for the observation equation, \(d\).

obs_covarray

The covariance matrix for the observation equation \(H\).

transitionarray

The transition matrix, \(T\).

state_interceptarray

The intercept for the transition equation, \(c\).

selectionarray

The selection matrix, \(R\).

state_covarray

The covariance matrix for the state equation \(Q\).

missingarray of bool

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.

nmissingarray of int

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.

time_invariantbool

Whether or not the representation matrices are time-invariant

initializationInitialization object

Kalman filter initialization method.

initial_statearray_like

The state vector used to initialize the Kalamn filter.

initial_state_covarray_like

The state covariance matrix used to initialize the Kalamn filter.

Methods

update_representation(model)

Update model Representation