RegimeSwitchingLinearSSM

cultivars.state_space.regime_switching.RegimeSwitchingLinearSSM

alias of _RegimeSwitchingLinearStateSpace

Attributes

k_endog	Observation dimension.
k_regimes	Number of regimes.
k_states	State dimension.
regime_transition	The row-stochastic regime chain matrix P, as a copy.

Methods

filter(y)	Kim's (1994) approximate forward pass.
loglikelihood(y)	The collapse-approximate log-likelihood.
smooth(y)	Kim's backward pass over the regime probabilities.