LQM Registry / state-space
Local-Level State-Space Model
Local-level Kalman filter with transparent process/observation variance assumptions, innovations and probabilistic state forecasts.
Model key
lq.state-space.local-levelVersion1.0.0
Runtimepython-process
Model contract
Inputs are explicit.
{
"type": "object",
"required": [
"values"
],
"properties": {
"values": {
"type": "array",
"items": {
"type": "number"
},
"minItems": 8
}
}
}Output contract
Outputs are explicit.
{
"type": "object",
"required": [
"latest_state",
"process_variance",
"observation_variance",
"log_likelihood",
"forecast"
]
}Default parameters
{
"horizon": 5,
"process_variance": 0,
"observation_variance": 0,
"auto_process_ratio": 0.1000000000000000055511151231257827021181583404541015625
}Example input
{
"values": [
100,
100.400000000000005684341886080801486968994140625,
100.2000000000000028421709430404007434844970703125,
100.900000000000005684341886080801486968994140625,
101.099999999999994315658113919198513031005859375,
100.7999999999999971578290569595992565155029296875,
101.5,
101.900000000000005684341886080801486968994140625,
101.7000000000000028421709430404007434844970703125,
102.2000000000000028421709430404007434844970703125,
102.5,
102.400000000000005684341886080801486968994140625
]
}