Struct StateSpaceModel

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pub struct StateSpaceModel {
    pub observation_matrix: Array2<f64>,
    pub transition_matrix: Array2<f64>,
    pub selection_matrix: Array2<f64>,
    pub observation_cov: Array2<f64>,
    pub state_cov: Array2<f64>,
    pub initial_state_mean: Array1<f64>,
    pub initial_state_cov: Array2<f64>,
}

Expand description

State space model specification

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§observation_matrix: Array2<f64>

Observation matrix Z (n_obs × n_states)

§transition_matrix: Array2<f64>

Transition matrix T (n_states × n_states)

§selection_matrix: Array2<f64>

Selection matrix R (n_states × n_disturbances)

§observation_cov: Array2<f64>

Observation covariance H (n_obs × n_obs)

§state_cov: Array2<f64>

State disturbance covariance Q (n_disturbances × n_disturbances)

§initial_state_mean: Array1<f64>

Initial state mean α₀ (n_states)

§initial_state_cov: Array2<f64>

Initial state covariance P₀ (n_states × n_states)

Implementations§

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impl StateSpaceModel

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pub fn local_level(obs_var: f64, level_var: f64) -> Self

Create local level model (random walk plus noise)

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pub fn local_linear_trend(obs_var: f64, level_var: f64, slope_var: f64) -> Self

Create local linear trend model

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pub fn arma(ar_coef: &[f64], ma_coef: &[f64], sigma2: f64) -> Self

Create ARMA(p, q) model in state space form

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pub fn filter(&self, y: &Array1<f64>) -> Result<KalmanFilterResults>

Apply Kalman filter to time series

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pub fn smooth( &self, filter_results: &KalmanFilterResults, ) -> KalmanFilterResults

Apply Kalman smoother (Rauch-Tung-Striebel smoother)

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pub fn forecast( &self, filter_results: &KalmanFilterResults, steps: usize, ) -> (Array2<f64>, Array3<f64>)

Forecast future states

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pub fn log_likelihood(&self, y: &Array1<f64>) -> Result<f64>

Calculate marginal log-likelihood

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pub fn estimate(&mut self, _y: &Array1<f64>) -> Result<()>

Estimate parameters via maximum likelihood

Trait Implementations§

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impl Clone for StateSpaceModel

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fn clone(&self) -> StateSpaceModel

Returns a duplicate of the value. Read more

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fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source. Read more

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impl Debug for StateSpaceModel

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fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter. Read more

Auto Trait Implementations§

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impl UnwindSafe for StateSpaceModel

Blanket Implementations§

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impl<T> Any for T
where T: 'static + ?Sized,

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fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more

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impl<T> Borrow<T> for T
where T: ?Sized,

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fn borrow(&self) -> &T

Immutably borrows from an owned value. Read more

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impl<T> BorrowMut<T> for T
where T: ?Sized,

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fn borrow_mut(&mut self) -> &mut T

Mutably borrows from an owned value. Read more

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impl<T> ByRef<T> for T

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fn by_ref(&self) -> &T

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impl<T> CloneToUninit for T
where T: Clone,

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unsafe fn clone_to_uninit(&self, dest: *mut u8)

🔬This is a nightly-only experimental API. (clone_to_uninit)

Performs copy-assignment from self to dest. Read more

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impl<T> DistributionExt for T
where T: ?Sized,

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fn rand<T>(&self, rng: &mut (impl Rng + ?Sized)) -> T
where Self: Distribution<T>,

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impl<T> From<T> for T

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fn from(t: T) -> T

Returns the argument unchanged.

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impl<T, U> Into for T
where U: From<T>,

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fn into(self) -> U

Calls U::from(self).

That is, this conversion is whatever the implementation of From<T> for U chooses to do.

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impl<T> IntoEither for T

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fn into_either(self, into_left: bool) -> Either<Self, Self>

Converts self into a Left variant of Either<Self, Self> if into_left is true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more

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fn into_either_with<F>(self, into_left: F) -> Either<Self, Self>
where F: FnOnce(&Self) -> bool,

Converts self into a Left variant of Either<Self, Self> if into_left(&self) returns true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more

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