MarkovSwitchingAR.initial_transition#

static MarkovSwitchingAR.initial_transition(k, rng, diagonal)[source]#

Randomized persistent transition matrix for a restart.

Parameters:

  • k (int) – Number of regimes.

  • rng (Generator) – Random generator.

  • diagonal (float) – Target self-transition probability.

Return type:

NDArray[double]

Returns:

A row-stochastic (K, K) matrix.