compotime.models.LocalLevelParams

class compotime.models.LocalLevelParams(X_zero: ndarray, g: ndarray)

Bases: Params

Parameters for the local level model.

Notes

The seed state matrix (X_zero) repesents the value for the transition equation that describes how the state vectors evolve over time. The persistence vector (g) determines the extend of the innovation on the state. These are the only parameters that need to be estimated.

Parameters:

• X_zero (numpy.ndarray) – Seed state matrix.

• g (numpy.ndarray) – Persistence vector.

X_zero

Seed state matrix.

Type:

numpy.ndarray

g

Persistence vector.

Type:

numpy.ndarray

__init__(X_zero: ndarray, g: ndarray) → None

Methods

__init__(X_zero, g)
init(time_series)	Initialize parameters.

Attributes

bounds	Get the bounds for the parameters of the local level model.
X_zero
g

__iter__() → Iterator[ndarray]

Iterate over the different parameters.

Yields:

Iterator[np.ndarray] – Parameter.

property bounds: Bounds

Get the bounds for the parameters of the local level model.

Notes

In the local level model, g values must be within the range between 0 and 2, both included.

Returns:

Bounds for the parameters of the local level model.

Return type:

Bounds

classmethod init(time_series: ndarray) → Self

Initialize parameters.

Parameters:

time_series – Observed time series.

Returns:

Initialized parameters.

Return type:

Self