dfm-python 0.5.58__tar.gz → 0.5.60__tar.gz

dfm_python-0.5.60/.cursor/agents/test-runner.md

@@ -0,0 +1,118 @@
+---
+name: test-runner
+description: Testing specialist for running pytest, fixing test failures, and verifying implementations. Use proactively after code changes or when user requests testing.
+---
+
+You are a testing specialist focused on running tests, diagnosing failures, and ensuring code correctness.
+
+## Core Responsibilities
+
+When invoked:
+1. **Run tests** using `uv run pytest` (never use system pytest)
+2. **Analyze failures** with clear error messages and stack traces
+3. **Fix issues** directly in the code
+4. **Verify fixes** by re-running tests
+5. **Report results** concisely
+
+## Testing Workflow
+
+### 1. Environment Setup
+- Always use `uv` and virtual environment (`.venv/`)
+- Activate venv: `source .venv/bin/activate` OR use `uv run`
+- Never use system `python` or `pytest` directly
+
+### 2. Running Tests
+
+```bash
+# Run all tests
+uv run pytest
+
+# Run specific test file
+uv run pytest src/test/models/test_dfm.py
+
+# Run with verbose output
+uv run pytest -v
+
+# Run specific test function
+uv run pytest src/test/models/test_dfm.py::TestDFM::test_dfm_fit
+```
+
+### 3. Analyzing Failures
+
+For each failure:
+- **Read the error message** carefully
+- **Check the stack trace** to locate the issue
+- **Identify root cause** (not just symptoms)
+- **Check recent code changes** if applicable
+- **Verify imports and dependencies**
+
+### 4. Fixing Issues
+
+- **Fix directly** in the code (don't just report)
+- **Make minimal changes** to resolve the issue
+- **Preserve existing functionality** unless explicitly changing it
+- **Update tests** if requirements changed (not just to make them pass)
+
+### 5. Verification
+
+- **Re-run the specific failing test** first
+- **Run the full test suite** if multiple tests might be affected
+- **Verify no regressions** introduced
+
+## Common Issues and Fixes
+
+### Import Errors
+- Check if module exists and path is correct
+- Verify `__init__.py` files exist
+- Check if function/class was moved or renamed
+- Update imports to match current code structure
+
+### Assertion Failures
+- Understand what the test expects vs what code produces
+- Check if test expectations are outdated
+- Verify logic correctness, not just make test pass
+
+### Missing Dependencies
+- Install with `uv pip install <package>`
+- Check `pyproject.toml` for required dependencies
+- Verify virtual environment has all packages
+
+### Type Errors
+- Check type hints match actual usage
+- Verify imports for type annotations
+- Update types if code behavior changed
+
+## Output Format
+
+After running tests, provide:
+1. **Summary**: Total tests, passed, failed, skipped
+2. **Failures**: List each failure with:
+   - Test name and location
+   - Error message
+   - Root cause analysis
+   - Fix applied
+3. **Status**: All tests passing or remaining issues
+
+## Best Practices
+
+- **Run tests immediately** when requested
+- **Fix issues proactively** - don't just report them
+- **Use uv and venv** always
+- **Be thorough** but efficient
+- **Verify fixes** before reporting success
+- **Keep test output** concise but informative
+
+## Example Workflow
+
+```
+User: "Run tests for DFM"
+Assistant: 
+1. Runs: `uv run pytest src/test/models/test_dfm.py -v`
+2. Sees failure: ImportError for validate_dfm_initialization
+3. Checks: Function exists in validator.py
+4. Fixes: Updates import path in test file
+5. Re-runs: `uv run pytest src/test/models/test_dfm.py::TestDFM::test_dfm_fit`
+6. Reports: "Fixed import error. All DFM tests passing."
+```
+
+**Remember: Act quickly, fix directly, verify thoroughly.**

dfm_python-0.5.60/=0.11.0

@@ -0,0 +1 @@
+Audited 1 package in 1ms

dfm_python-0.5.60/PKG-INFO

@@ -0,0 +1,56 @@
+Metadata-Version: 2.4
+Name: dfm-python
+Version: 0.5.60
+Summary: Dynamic Factor Model (DFM) estimation and forecasting in Python
+Project-URL: Homepage, https://github.com/yourusername/dfm-python
+Project-URL: Documentation, https://github.com/yourusername/dfm-python#readme
+Project-URL: Repository, https://github.com/yourusername/dfm-python
+Project-URL: Issues, https://github.com/yourusername/dfm-python/issues
+Author: Minkey Chang
+License: MIT
+Keywords: dfm,dynamic-factor-model,econometrics,forecasting,time-series
+Classifier: Development Status :: 4 - Beta
+Classifier: Intended Audience :: Science/Research
+Classifier: License :: OSI Approved :: MIT License
+Classifier: Programming Language :: Python :: 3
+Classifier: Programming Language :: Python :: 3.10
+Classifier: Programming Language :: Python :: 3.11
+Classifier: Programming Language :: Python :: 3.12
+Classifier: Topic :: Scientific/Engineering
+Requires-Python: >=3.10
+Requires-Dist: build>=1.4.0
+Requires-Dist: einops>=0.8.1
+Requires-Dist: hydra-core>=1.3.2
+Requires-Dist: matplotlib>=3.5.0
+Requires-Dist: numpy>=1.24.0
+Requires-Dist: pandas>=2.0.0
+Requires-Dist: pyarrow>=22.0.0
+Requires-Dist: pykalman>=0.11.0
+Requires-Dist: pytorch-lightning>=2.0.0
+Requires-Dist: scikit-learn>=1.7.2
+Requires-Dist: scipy>=1.10.0
+Requires-Dist: sktime>=0.40.1
+Requires-Dist: torch>=2.0.0
+Requires-Dist: twine>=6.2.0
+Provides-Extra: all
+Requires-Dist: hydra-core>=1.3.0; extra == 'all'
+Requires-Dist: omegaconf>=2.3.0; extra == 'all'
+Requires-Dist: pytest-cov>=4.0.0; extra == 'all'
+Requires-Dist: pytest>=7.0.0; extra == 'all'
+Requires-Dist: scikit-learn>=1.0.0; extra == 'all'
+Requires-Dist: sktime>=0.27.0; extra == 'all'
+Requires-Dist: sqlalchemy>=2.0.0; extra == 'all'
+Provides-Extra: db
+Requires-Dist: sqlalchemy>=2.0.0; extra == 'db'
+Provides-Extra: deep
+Provides-Extra: dev
+Requires-Dist: pytest-cov>=4.0.0; extra == 'dev'
+Requires-Dist: pytest>=7.0.0; extra == 'dev'
+Requires-Dist: scikit-learn>=1.0.0; extra == 'dev'
+Provides-Extra: forecasting
+Requires-Dist: sktime[forecasting]>=0.40.1; extra == 'forecasting'
+Provides-Extra: hydra
+Requires-Dist: hydra-core>=1.3.0; extra == 'hydra'
+Requires-Dist: omegaconf>=2.3.0; extra == 'hydra'
+Provides-Extra: transform
+Requires-Dist: sktime>=0.27.0; extra == 'transform'

{dfm_python-0.5.58 → dfm_python-0.5.60}/config/ddfm_exchange.yaml

@@ -22,7 +22,7 @@ seed: 3  # Random seed (matching original seed=3)
 
 # Data Handling (used by Dataset, not Model)
 clock: d  # Daily clock frequency (all series are daily)
-target_scaler: null  # No target scaler - data should be pre-scaled before passing to Dataset
+scaler: null  # No scaler - data should be pre-scaled before passing to Dataset
 
 # Frequency mapping (all series are daily)
 # If not specified, all series use clock frequency (d)

{dfm_python-0.5.58 → dfm_python-0.5.60}/config/ddfm_finance.yaml

@@ -20,7 +20,7 @@ seed: null  # Random seed (None uses default)
 
 # Data Handling (used by Dataset, not Model)
 clock: m  # Monthly clock frequency
-target_scaler: standard  # Scaler for target series: 'standard', 'robust', 'minmax', 'maxabs', 'quantile', or null
+scaler: standard  # Scaler for target series: 'standard', 'robust', 'minmax', 'maxabs', 'quantile', or null
 
 # Frequency mapping (optional)
 # If not specified, all series use clock frequency

{dfm_python-0.5.58 → dfm_python-0.5.60}/config/ddfm_macro.yaml

@@ -22,7 +22,7 @@ seed: null  # Random seed (None uses default)
 
 # Data Handling (used by Dataset, not Model)
 clock: w  # Weekly clock frequency (base frequency for latent factors)
-target_scaler: standard  # Scaler for target series: 'standard', 'robust', 'minmax', 'maxabs', 'quantile', or null
+scaler: standard  # Scaler for target series: 'standard', 'robust', 'minmax', 'maxabs', 'quantile', or null
 
 # Frequency mapping for mixed-frequency macro data
 # Clock is weekly (w), so monthly series are slower frequency

dfm_python-0.5.60/config/dfm_exchange.yaml

@@ -0,0 +1,32 @@
+# DFM Configuration for Exchange Rate Datasets
+# Clock: Daily (d) - base frequency for latent factors
+
+# EM Algorithm Parameters
+threshold: 1.0e-05
+max_iter: 5000
+
+# Numerical Stability Parameters
+clip_ar_coefficients: true
+ar_clip_min: -0.99
+ar_clip_max: 0.99
+use_regularization: true
+regularization_scale: 1.0e-05
+
+# Idiosyncratic Component Parameters
+augment_idio: true
+augment_idio_slow: false
+idio_rho0: 0.1
+idio_min_var: 1.0e-08
+
+# Data Handling
+clock: d
+scaler: standard
+
+# Block Structure
+blocks:
+  Block_Global:
+    num_factors: 1
+    series: []  # Will be populated from data
+
+# Frequency mapping
+frequency: {}  # Will be populated from data

{dfm_python-0.5.58 → dfm_python-0.5.60}/config/dfm_finance.yaml

@@ -6,7 +6,6 @@
 # Reduced series for testing purposes
 
 # EM Algorithm Parameters
-ar_lag: 1  # Global AR lag order (applies to all blocks)
 threshold: 1.0e-05  # EM convergence threshold
 max_iter: 5000  # Maximum EM iterations
 
@@ -25,10 +24,8 @@ idio_min_var: 1.0e-08
 
 # Data Handling
 clock: m  # Monthly clock frequency (tutorial uses monthly, adjust to 'd' for daily or 'w' for weekly)
-# target_scaler: Pass sklearn scaler object directly (e.g., StandardScaler(), RobustScaler())
-# Example in Python:
-#   from sklearn.preprocessing import StandardScaler
-#   config.target_scaler = StandardScaler()
+scaler: standard  # Scaler for all series: 'standard', 'robust', 'minmax', 'maxabs', 'quantile', or null
+# Note: scaler is handled internally by the model, not set on config object
 # Note: nan_method and nan_k are internal constants (not user-configurable)
 
 # Block Structure for Financial Data

{dfm_python-0.5.58 → dfm_python-0.5.60}/config/dfm_macro.yaml

@@ -5,7 +5,6 @@
 # Target: KOEQUIPTE (Investment, Equipment, Estimation, SA)
 
 # EM Algorithm Parameters
-ar_lag: 1  # Global AR lag order (applies to all blocks)
 threshold: 1.0e-05  # EM convergence threshold
 max_iter: 5000  # Maximum EM iterations
 
@@ -24,10 +23,8 @@ idio_min_var: 1.0e-08
 
 # Data Handling
 clock: w  # Weekly clock frequency (base frequency for latent factors)
-# target_scaler: Pass sklearn scaler object directly (e.g., StandardScaler(), RobustScaler())
-# Example in Python:
-#   from sklearn.preprocessing import StandardScaler
-#   config.target_scaler = StandardScaler()
+scaler: standard  # Scaler for all series: 'standard', 'robust', 'minmax', 'maxabs', 'quantile', or null
+# Note: scaler is handled internally by the model, not set on config object
 # Note: nan_method and nan_k are internal constants (not user-configurable)
 
 # Block Structure for Macroeconomic Data

{dfm_python-0.5.58 → dfm_python-0.5.60}/pyproject.toml

@@ -1,8 +1,7 @@
 [project]
 name = "dfm-python"
-version = "0.5.58"
+version = "0.5.60"
 description = "Dynamic Factor Model (DFM) estimation and forecasting in Python"
-readme = "README.md"
 requires-python = ">=3.10"
 license = {text = "MIT"}
 authors = [
@@ -20,6 +19,7 @@ classifiers = [
     "Topic :: Scientific/Engineering",
 ]
 dependencies = [
+    "build>=1.4.0",
     "einops>=0.8.1",
     "hydra-core>=1.3.2",
     "matplotlib>=3.5.0",

{dfm_python-0.5.58 → dfm_python-0.5.60}/src/dfm_python/__init__.py

@@ -32,7 +32,9 @@ Example:
     >>> df_processed = df[[col for col in df.columns if col != 'date']]
     >>> 
     >>> # Step 2: Create Dataset
-    >>> dataset = DFMDataset(config_path='config/default.yaml', data=df_processed)
+    >>> from dfm_python.config import DFMConfig
+    >>> config = DFMConfig.from_yaml('config/default.yaml')
+    >>> dataset = DFMDataset(config=config, data=df_processed)
     >>> 
     >>> # Step 3: Create model and load config
     >>> model = DFM()
@@ -61,7 +63,7 @@ Note: DFMConfig uses frequency dict to specify series (column names -> frequenci
 For detailed documentation, see the README.md file and the tutorial notebooks/scripts.
 """
 
-__version__ = "0.5.56"
+__version__ = "0.5.60"
 
 # ============================================================================
 # PUBLIC API DEFINITION
@@ -102,7 +104,10 @@ from .models.base import BaseFactorModel
 from .models.dfm import DFM
 
 # DDFM high-level API (PyTorch is mandatory)
-from .models.ddfm import DDFM
+try:
+    from .models.ddfm.ddfm import DDFM
+except ImportError:
+    DDFM = None
 
 __all__ = [
     # Core classes

{dfm_python-0.5.58 → dfm_python-0.5.60}/src/dfm_python/config/__init__.py

@@ -81,12 +81,7 @@ from .types import (
 )
 # Import lazily to avoid circular dependencies
 try:
-    from ..numeric.builder import compute_idio_lengths
-except ImportError:
-    compute_idio_lengths = None
-
-try:
-    from ..numeric.tent import get_agg_structure, group_by_freq
+    from ..models.dfm.tent import get_agg_structure, group_by_freq
 except ImportError:
     get_agg_structure = None
     group_by_freq = None
@@ -100,7 +95,7 @@ def get_periods_per_year(frequency: str) -> int:
 __all__ = [
     # Base classes
     'BaseModelConfig', 'BaseResult',
-    # 'DEFAULT_BLOCK_NAME',  # Removed to avoid circular import - import directly from functional.dfm_block
+    # 'DEFAULT_BLOCK_NAME',  # Removed to avoid circular import
     # Model-specific configs (from schema.py)
     'DFMConfig', 'DDFMConfig',
     # State-space parameters
@@ -117,7 +112,6 @@ __all__ = [
     'FREQUENCY_HIERARCHY',
     'PERIODS_PER_YEAR',
     'get_periods_per_year',
-    'compute_idio_lengths',
     'get_agg_structure',
     'group_by_freq',
     # Type definitions (from types.py)

{dfm_python-0.5.58 → dfm_python-0.5.60}/src/dfm_python/config/adapter.py

@@ -303,7 +303,6 @@ class YamlSource:
         _EXCLUDED_KEYS = {
             'defaults', '_target_', '_recursive_', '_convert_', 
             'series', 'blocks', 'data', 'output', 'description', 'name', 'target', 'model',
-            'nan_method', 'nan_k'  # Internal constants, not user-configurable
         }
         main_settings = {k: v for k, v in cfg_dict.items() if k not in _EXCLUDED_KEYS}
         

{dfm_python-0.5.58 → dfm_python-0.5.60}/src/dfm_python/config/schema/model.py

@@ -65,8 +65,6 @@ from ..constants import (
     MIN_EIGENVALUE,
     MAX_EIGENVALUE,
     MIN_DIAGONAL_VARIANCE,
-    DEFAULT_NAN_METHOD,
-    DEFAULT_NAN_K,
     DEFAULT_CLOCK_FREQUENCY,
     DEFAULT_KDFM_AR_ORDER,
     DEFAULT_KDFM_MA_ORDER,
@@ -138,7 +136,6 @@ class BaseModelConfig:
     # ========================================================================
     clock: str = 'm'  # Required: Base frequency for latent factors (global clock): 'd', 'w', 'm', 'q', 'sa', 'a' (defaults to 'm' for monthly)
     target_scaler: Optional[ScalerType] = None  # Fitted sklearn scaler instance (StandardScaler, RobustScaler, etc.) for target series only. Must be a fitted scaler object (call .fit() on target data first). Pass scaler object directly, not string. Feature series are assumed to be manually preprocessed. If None, target series are assumed to be already in the desired scale.
-    # Note: nan_method and nan_k are internal constants (DEFAULT_NAN_METHOD, DEFAULT_NAN_K) used during initialization only
     
     def __post_init__(self):
         """Validate basic model structure.
@@ -294,9 +291,6 @@ class DFMConfig(BaseModelConfig):
     # - If mixed frequencies detected: augment_idio=True, augment_idio_slow=True (required for tent kernel)
     # These are properties, not config fields - automatically determined from frequency configuration
     
-    # Kalman Filter Type
-    use_cholesky_filter: bool = False  # Use CholeskyKalmanFilter for better numerical stability (default: False)
-    
     # Tent Kernel Weights (for mixed-frequency aggregation)
     tent_weights: Optional[Union[Dict[str, List[float]], Dict[str, np.ndarray]]] = None  # Required for mixed-frequency data: tent weights for frequency pairs. Format: {'freq_pair': [weights]} or {'freq': [weights]}. Example: {'m:w': [1, 2, 1]} or {'m': [1, 2, 1]}. Must be specified in config for all slower-frequency pairs.
     
@@ -379,7 +373,11 @@ class DFMConfig(BaseModelConfig):
         object.__setattr__(self, '_augment_idio_slow', is_mixed_freq)
     
     def to_em_config(self) -> 'EMConfig':
-        """Create EMConfig from DFMConfig consolidated parameters."""
+        """Create EMConfig from DFMConfig consolidated parameters.
+        
+        Automatically passes all numerical stability parameters (regularization, ar_clip,
+        damping_factor, data_clip) from DFMConfig to EMConfig for use in EM algorithm.
+        """
         from ...functional.em import EMConfig
         from ..constants import DEFAULT_REGULARIZATION, VAR_STABILITY_THRESHOLD
         
@@ -397,6 +395,10 @@ class DFMConfig(BaseModelConfig):
             regularization=reg_scale,
             min_norm=min_eigenval,
             max_eigenval=max_eigenval,
+            # Pass numerical stability parameters from DFMConfig
+            ar_clip=self.ar_clip,
+            damping_factor=self.damping_factor,
+            data_clip=self.data_clip,
             # Other parameters use defaults from EMConfig
         )
     
@@ -453,7 +455,6 @@ class DFMConfig(BaseModelConfig):
             'data_clip': data.get('data_clip', None),
             'regularization': data.get('regularization', None),
             'damping_factor': data.get('damping_factor', None),
-            'use_cholesky_filter': data.get('use_cholesky_filter', False),
             'tent_weights': data.get('tent_weights', None),
         }
         

{dfm_python-0.5.58 → dfm_python-0.5.60}/src/dfm_python/config/schema/params.py

@@ -8,97 +8,12 @@ import numpy as np
 from typing import Optional, Any
 
 
-@dataclass
-class DFMStateSpaceParams:
-    """State-space model parameters for DFM (fitted during model training).
-    
-    These parameters are computed during DFM.fit() and represent the fitted
-    state-space model structure. Contains only the state-space parameters,
-    not training metadata (loglik, num_iter, converged) which are stored
-    separately in checkpoint dicts.
-    
-    Parameters
-    ----------
-    A : np.ndarray
-        Transition matrix (m x m) - VAR dynamics for factors
-    C : np.ndarray
-        Observation matrix (N x m) - factor loadings
-    Q : np.ndarray
-        Process noise covariance (m x m) - innovation covariance
-    R : np.ndarray
-        Observation noise covariance (N x N) - typically diagonal
-    Z_0 : np.ndarray
-        Initial state mean (m,) - initial factor values
-    V_0 : np.ndarray
-        Initial state covariance (m x m) - initial uncertainty
-    """
-    A: np.ndarray  # Transition matrix (m x m)
-    C: np.ndarray  # Observation matrix (N x m)
-    Q: np.ndarray  # Process noise covariance (m x m)
-    R: np.ndarray  # Observation noise covariance (N x N)
-    Z_0: np.ndarray  # Initial state mean (m,)
-    V_0: np.ndarray  # Initial state covariance (m x m)
-    
-    @classmethod
-    def from_model(cls, model: Any) -> 'DFMStateSpaceParams':
-        """Create DFMStateSpaceParams from DFM model instance.
-        
-        Parameters
-        ----------
-        model : DFM
-            DFM model instance with fitted parameters
-            
-        Returns
-        -------
-        DFMStateSpaceParams
-            State-space parameters dataclass
-        """
-        # Get parameters from model (stored after fit)
-        # First check if training_state is already DFMStateSpaceParams (new format)
-        if hasattr(model, 'training_state') and model.training_state is not None:
-            if isinstance(model.training_state, cls):
-                # Already a DFMStateSpaceParams instance
-                return model.training_state
-            # Backward compatibility: If old format training_state (has A, C, Q, R, Z_0, V_0 attributes)
-            if hasattr(model.training_state, 'A'):
-                return cls(
-                    A=model.training_state.A,
-                    C=model.training_state.C,
-                    Q=model.training_state.Q,
-                    R=model.training_state.R,
-                    Z_0=model.training_state.Z_0,
-                    V_0=model.training_state.V_0
-                )
-        
-        # Get from model attributes (after _update_parameters is called)
-        return cls(
-            A=getattr(model, 'A', None),
-            C=getattr(model, 'C', None),
-            Q=getattr(model, 'Q', None),
-            R=getattr(model, 'R', None),
-            Z_0=getattr(model, 'Z_0', None),
-            V_0=getattr(model, 'V_0', None)
-        )
-    
-    def apply_to_model(self, model: Any) -> None:
-        """Apply state-space parameters to DFM model instance.
-        
-        Parameters
-        ----------
-        model : DFM
-            DFM model instance to update
-        """
-        model._update_parameters(
-            self.A, self.C, self.Q, self.R, self.Z_0, self.V_0
-        )
-
-
 @dataclass
 class DFMModelState:
-    """DFM model structure and mixed-frequency parameters.
+    """DFM model state including structure, mixed-frequency parameters, and state-space parameters.
     
-    Consolidates model structure and mixed-frequency state for checkpointing.
-    This allows save/load methods to be simplified by using a single dataclass.
+    Consolidates all DFM model state for checkpointing: model structure, mixed-frequency
+    configuration, and fitted state-space parameters.
     
     Attributes
     ----------
@@ -128,6 +43,18 @@ class DFMModelState:
         Indicator for idiosyncratic components
     max_lag_size : int, optional
         Maximum lag size for state dimension
+    A : np.ndarray, optional
+        Transition matrix (m x m) - VAR dynamics for factors
+    C : np.ndarray, optional
+        Observation matrix (N x m) - factor loadings
+    Q : np.ndarray, optional
+        Process noise covariance (m x m) - innovation covariance
+    R : np.ndarray, optional
+        Observation noise covariance (N x N) - typically diagonal
+    Z_0 : np.ndarray, optional
+        Initial state mean (m,) - initial factor values
+    V_0 : np.ndarray, optional
+        Initial state covariance (m x m) - initial uncertainty
     """
     num_factors: int
     r: np.ndarray
@@ -142,6 +69,13 @@ class DFMModelState:
     frequencies: Optional[np.ndarray] = None
     idio_indicator: Optional[np.ndarray] = None
     max_lag_size: Optional[int] = None
+    # State-space parameters (fitted during training)
+    A: Optional[np.ndarray] = None
+    C: Optional[np.ndarray] = None
+    Q: Optional[np.ndarray] = None
+    R: Optional[np.ndarray] = None
+    Z_0: Optional[np.ndarray] = None
+    V_0: Optional[np.ndarray] = None
     
     @classmethod
     def from_model(cls, model: Any) -> 'DFMModelState':
@@ -157,6 +91,27 @@ class DFMModelState:
         DFMModelState
             Model state dataclass
         """
+        # Get state-space parameters from training_state if available
+        A = C = Q = R = Z_0 = V_0 = None
+        if hasattr(model, 'training_state') and model.training_state is not None:
+            # Handle both old DFMStateSpaceParams format and new DFMModelState format
+            ts = model.training_state
+            if hasattr(ts, 'A'):
+                A = ts.A
+                C = ts.C
+                Q = ts.Q
+                R = ts.R
+                Z_0 = ts.Z_0
+                V_0 = ts.V_0
+        else:
+            # Fallback: get from model attributes directly
+            A = getattr(model, 'A', None)
+            C = getattr(model, 'C', None)
+            Q = getattr(model, 'Q', None)
+            R = getattr(model, 'R', None)
+            Z_0 = getattr(model, 'Z_0', None)
+            V_0 = getattr(model, 'V_0', None)
+        
         return cls(
             num_factors=model.num_factors,
             r=model.r,
@@ -170,7 +125,13 @@ class DFMModelState:
             tent_weights_dict=getattr(model, '_tent_weights_dict', None),
             frequencies=getattr(model, '_frequencies', None),
             idio_indicator=getattr(model, '_idio_indicator', None),
-            max_lag_size=getattr(model, '_max_lag_size', None)
+            max_lag_size=getattr(model, '_max_lag_size', None),
+            A=A,
+            C=C,
+            Q=Q,
+            R=R,
+            Z_0=Z_0,
+            V_0=V_0
         )
     
     def apply_to_model(self, model: Any) -> None:
@@ -194,6 +155,12 @@ class DFMModelState:
         model._frequencies = self.frequencies
         model._idio_indicator = self.idio_indicator
         model._max_lag_size = self.max_lag_size
+        
+        # Apply state-space parameters if available
+        if self.A is not None and self.C is not None and self.Q is not None:
+            model._update_parameters(
+                self.A, self.C, self.Q, self.R, self.Z_0, self.V_0
+            )
 
 @dataclass
 class DDFMTrainingState:
@@ -277,3 +244,6 @@ class DDFMStateSpaceParams:
     H: np.ndarray  # Observation matrix (N x m) - theta in paper
     R: np.ndarray  # Observation noise covariance (N x N)
 
+# Backward compatibility alias
+DFMStateSpaceParams = DFMModelState
+