ssfortran.Level

class ssfortran.Level(cov='diagonal', at_observations=False)

Random walk level \(\mu_{t+1} = \mu_t + \xi_t\) (DK ch. 2, §3.2.1).

Parameters:

cov{“diagonal”, “full”, None}

Form of \(Var(\xi_t)\) across series (DK §3.3); None gives a fixed level.

at_observationsbool

Act on the observations rather than the signals when the model has loadings.