MarkovSwitchingVAR.label_ordering

property MarkovSwitchingVAR.label_ordering: str

Which quantity regimes are sorted by, ascending.

A mixture likelihood is invariant to relabelling regimes, so the fit imposes an ordering to make two runs comparable: the first variable’s intercept when the mean switches, the log-determinant of the innovation covariance when only scale does (regime 0 is then the quiet regime), and the first variable’s own first-lag coefficient otherwise.