ssfortran.ContinuousLevel

class ssfortran.ContinuousLevel(times, at_observations=False)

Level in continuous time observed at arbitrary times (DK §3.8.1).

Between observations the variance of the change is \(\sigma^2 \delta_t\), \(\delta_t = \tau_{t+1} - \tau_t\).

Parameters:

timesarray_like, shape (n,)

Increasing observation times; repeated times are allowed.

at_observationsbool

Act on the observations rather than the signals.