smooth.ES.measurement

property ES.measurement: ndarray[tuple[int, ...], dtype[_ScalarType_co]]

$measurement).

The measurement matrix maps the state vector to the observation equation: y_t = W @ v_t + e_t (for additive errors).

Returns:

Matrix of shape (obs_in_sample, n_states) that maps states to observations. For time-invariant models, all rows are identical.

Return type:

NDArray

Raises:

ValueError – If the model has not been fitted yet.

See also

transition

State transition matrix F

states

State values over time

Examples

>>> model = ADAM(model="AAN")
>>> model.fit(y)
>>> W = model.measurement

Type:

Measurement matrix W (R