ssfortran.Irregular

class ssfortran.Irregular(cov='diagonal', weights=None)

Observation disturbance \(\varepsilon_t \sim N(0, \Sigma_\varepsilon)\).

Always acts on the observations.

Parameters:

cov{“diagonal”, “full”, None}

Form of \(\Sigma_\varepsilon\) across series; "full" estimates it through its Cholesky factor. None removes the irregular.

weightsarray_like, shape (n,), optional

\(H_t = w_t \Sigma_\varepsilon\), for unequally spaced or aggregated observations (DK §3.8).