MFVAR.nowcast

MFVAR.nowcast(endog)

The latent value of every variable in the final period.

Runs the full smoother and reads its last row, so the answer uses every reading in the sample; for the one-sided real-time estimate, read filter() instead.

Parameters:

endog (ArrayLike) – The mixed-frequency sample.

Return type:

dict[str, float]

Returns:

Mapping from variable name to its inferred current value.

Example

>>> import numpy as np
>>> A, S = np.array([[[0.5, 0.1], [0.0, 0.4]]]), np.eye(2)
>>> y = np.full((24, 2), np.nan)
>>> rng = np.random.default_rng(0)
>>> y[:, 0], y[2::3, 1] = rng.standard_normal(24), rng.standard_normal(8)
>>> model = MFVAR(A, S, kinds=["high", "flow"], period=3)
>>> model.nowcast(y) == model.smooth(y).nowcast(-1)
True