MFVARResult.nowcast

MFVARResult.nowcast(index=-1)

The latent value of every variable at one period.

Parameters:

index (int) – Position in the sample; negative indexes from the end.

Return type:

dict[str, float]

Returns:

Mapping from variable name to its inferred value.

Raises:

DimensionError – If index is out of range.

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)
>>> res = MFVAR(A, S, kinds=["high", "flow"], period=3).smooth(y)
>>> current = res.nowcast()
>>> sorted(current), bool(abs(current["y1"] - y[-1, 0]) < 1e-6)
(['y1', 'y2'], True)
>>> res.nowcast(24)
Traceback (most recent call last):
cultivars.exceptions.DimensionError: index 24 is out of range for 24 periods.