MarkovAutoregression.filter()
statsmodels.tsa.regime_switching.markov_autoregression.MarkovAutoregression.filter
-
MarkovAutoregression.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 estimatorsreturn_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
© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.tsa.regime_switching.markov_autoregression.MarkovAutoregression.filter.html