UnobservedComponentsResult.level

property UnobservedComponentsResult.level: NDArray[float64]

The smoothed trend level \(E[\mu_t \mid y]\), shape (n,).

Present in every specification.

Example

>>> import numpy as np
>>> rng = np.random.default_rng(0)
>>> walk = np.cumsum(0.2 * rng.standard_normal(200))
>>> res = UnobservedComponents(walk + rng.standard_normal(200)).fit()
>>> bool(np.corrcoef(res.level, walk)[0, 1] > 0.9)
True