statsmodels.tsa.statespace.kalman_smoother.KalmanSmoother.extend

KalmanSmoother.extend(endog, start=None, end=None, **kwargs)

Extend the current state space model, or a specific (time) subset

Parameters:

  • endog (array_like) – An observed time-series process \(y\).

  • start (int, optional) – The first period of a time-varying state space model to include in the new model. Has no effect if the state space model is time-invariant. Default is the initial period.

  • end (int, optional) – The last period of a time-varying state space model to include in the new model. Has no effect if the state space model is time-invariant. Default is the final period.

  • **kwargs – Keyword arguments to pass to the new state space representation model constructor. Those that are not specified are copied from the specification of the current state space model.

Return type:

Representation

Notes

This method does not allow replacing a time-varying system matrix with a time-invariant one (or vice-versa). If that is required, use clone.