UnobservedComponentsResult.level_std

property UnobservedComponentsResult.level_std: NDArray[float64]

The smoothed standard deviation of the level, shape (n,).

Widest at the two ends of the sample, where fewer neighbours inform the estimate; the band level +/- 1.96 * level_std is the pointwise 95% band.

Example

>>> import numpy as np
>>> rng = np.random.default_rng(0)
>>> y = np.cumsum(0.2 * rng.standard_normal(200)) + rng.standard_normal(200)
>>> res = UnobservedComponents(y).fit()
>>> std = res.level_std
>>> bool(std[0] > std[100]), bool(std[-1] > std[100])
(True, True)