LinearGaussianSSM.filter

LinearGaussianSSM.filter(y)

Run the Kalman filter over the observation matrix.

Parameters:

y (ArrayLike) – Observations, shape (n,) for a univariate model or (n, p); numpy.nan marks a missing element.

Return type:

_KalmanFilterResult

Returns:

The _KalmanFilterResult carrying predicted and filtered states with their covariances and the per-period likelihood.