statsmodels.tsa.regime_switching.markov_autoregression.MarkovAutoregression.filter

MarkovAutoregression.filter(*args, **kwargs)

Apply the Hamilton filter

Parameters:

params : array_like

Array of parameters at which to perform filtering.

transformed : boolean, optional

Whether or not params is already transformed. Default is True.

cov_type : str, optional

See fit for a description of covariance matrix types for results object.

cov_kwds : dict or None, optional

See fit for a description of required keywords for alternative covariance estimators

return_raw : boolean,optional

Whether or not to return only the raw Hamilton filter output or a full results object. Default is to return a full results object.

results_class : type, optional

A results class to instantiate rather than MarkovSwitchingResults. Usually only used internally by subclasses.

results_wrapper_class : type, optional

A results wrapper class to instantiate rather than MarkovSwitchingResults. Usually only used internally by subclasses.

Returns:

MarkovSwitchingResults