- MarkovAutoregression.regime_transition_matrix(params, exog_tvtp=None)¶
Construct the left-stochastic transition matrix
This matrix will either be shaped (k_regimes, k_regimes, 1) or if there are time-varying transition probabilities, it will be shaped (k_regimes, k_regimes, nobs).
The (i,j)th element of this matrix is the probability of transitioning from regime j to regime i; thus the previous regime is represented in a column and the next regime is represented by a row.
It is left-stochastic, meaning that each column sums to one (because it is certain that from one regime (j) you will transition to some other regime).