statsmodels.tsa.regime_switching.markov_regression.MarkovRegression.filter¶

MarkovRegression.filter(params, transformed=True, cov_type=None, cov_kwds=None, return_raw=False, results_class=None, results_wrapper_class=None)¶

Apply the Hamilton filter

Parameters:¶

params : array_like¶

Array of parameters at which to perform filtering.

transformed : bool, 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 : bool,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.

Return type:¶

MarkovSwitchingResults