LinearGaussianSSM

cultivars.state_space.linear_gaussian.LinearGaussianSSM

alias of _LinearGaussianStateSpace

Private methods

_at(matrix, t, static_ndim)	Return the system matrix at time t (broadcasting invariant ones).
_default_initial_cov()
_forward(y)
_from_arma(phi_star, theta_star, sigma2, ...)	Build the Harvey state-space form of an ARMA process.
_from_nelson_siegel_system(params, maturities)	The dynamic Nelson-Siegel model as a linear-Gaussian state space.
_from_structural_system(params, *, trend, ...)	The structural model as a linear-Gaussian state space.
_prepare_data(y)
_simulate_forward(n, rng)
_validate_matrix(value, name, *, ndim_static)
_validate_vector(value, name, dim)