statsmodels.tsa.regime_switching.markov_regression.MarkovRegression.start_params

property MarkovRegression.start_params

(array) Starting parameters for maximum likelihood estimation.

Notes

These are not very sophisticated and / or good. We set equal transition probabilities and interpolate regression coefficients between zero and the OLS estimates, where the interpolation is based on the regime number. We rely heavily on the EM algorithm to quickly find much better starting parameters, which are then used by the typical scoring approach.


Last update: Jun 14, 2024