State values

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Vahid Ahmadi

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May 10, 2021, 2:54:30 PMMay 10
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Hi, 

I'm trying to implement a custom state space model. I need to access the state vector at step t in the update method of sm.tsa.statespace.MLEModel. Is it possible?

Thanks,
VA

Chad Fulton

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May 10, 2021, 3:57:04 PMMay 10
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Hello,

Unfortunately no, we don't have a good way to do this right now. Adding the option of providing a callback to provide new updates at each iteration of the filter is a good idea, but it is not something we have right now.

Best,
Chad

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