'Initialize the statespace model with known distribution for initial
state.
These values are assumed to be known with certainty or else
filled with parameters during, for example, maximum likelihood
estimation.
Parameters
initial_state : array_like
Known mean of the initial state vector.
initial_state_cov : array_like
Known covariance matrix of the initial state vector.'

def initialize_known(self, initial_state, initial_state_cov):

    initial_state = np.asarray(initial_state, order='F')
    initial_state_cov = np.asarray(initial_state_cov, order='F')
    if (not (initial_state.shape == (self.k_states,))):
        raise ValueError(('Invalid    dimensions    for    initial    state    vector.    Requires    shape    (%d,),    got    %s' % (self.k_states, str(initial_state.shape))))
    if (not (initial_state_cov.shape == (self.k_states, self.k_states))):
        raise ValueError(('Invalid    dimensions    for    initial    covariance    matrix.    Requires    shape    (%d,%d),    got    %s' % (self.k_states, self.k_states, str(initial_state.shape))))
    self._initial_state = initial_state
    self._initial_state_cov = initial_state_cov
    self.initialization = 'known'
