statsmodels.tsa.statespace.representation.FrozenRepresentation

class statsmodels.tsa.statespace.representation.FrozenRepresentation(model)[source]

Frozen Statespace Model

Takes a snapshot of a Statespace model.

Parameters:

model : Representation

A Statespace representation

Attributes

nobs int Number of observations.
k_endog int The dimension of the observation series.
k_states int The dimension of the unobserved state process.
k_posdef int The dimension of a guaranteed positive definite covariance matrix describing the shocks in the measurement equation.
dtype dtype Datatype of representation matrices
prefix str BLAS prefix of representation matrices
shapes dictionary of name:tuple A dictionary recording the shapes of each of the representation matrices as tuples.
endog array The observation vector.
design array The design matrix, Z.
obs_intercept array The intercept for the observation equation, d.
obs_cov array The covariance matrix for the observation equation H.
transition array The transition matrix, T.
state_intercept array The intercept for the transition equation, c.
selection array The selection matrix, R.
state_cov array The covariance matrix for the state equation Q.
missing array 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.
nmissing array 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_invariant bool Whether or not the representation matrices are time-invariant
initialization str Kalman filter initialization method.
initial_state array_like The state vector used to initialize the Kalamn filter.
initial_state_cov array_like The state covariance matrix used to initialize the Kalamn filter.

Methods

update_representation(model)