MarkovRegression.filter()

statsmodels.tsa.regime_switching.markov_regression.MarkovRegression.filter

MarkovRegression.filter(*args, **kwargs) [source]

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