LinearGaussianSSM._from_nelson_siegel_system#

classmethod LinearGaussianSSM._from_nelson_siegel_system(params, maturities)[source]#

The dynamic Nelson-Siegel model as a linear-Gaussian state space.

The state is the factor vector (level, slope, curvature) with diagonal AR(1) dynamics around its mean, observed through the Nelson-Siegel loadings at the given maturities with diagonal measurement noise. The factor dynamics are stationary by construction, so the substrate’s stationary initialization applies.

Parameters:

  • params (_NelsonSiegelParameters) – The parameter record.

  • maturities (NDArray[double]) – Strictly positive maturities, shape (p,).

Return type:

_LinearGaussianStateSpace

Returns:

The state-space model.