MarkovSwitchingARResult.transition_table#

MarkovSwitchingARResult.transition_table()[source]#

The estimated transition matrix, rows indexed by the origin regime.

Return type:

SummaryTable

Returns:

A SummaryTable whose entry (i, j) is Pr(S_t = j | S_{t-1} = i).

Example

>>> import numpy as np
>>> rng = np.random.default_rng(0)
>>> res = MarkovSwitchingAR(rng.standard_normal(300), order=1).fit(seed=0, n_init=2)
>>> table = res.transition_table()
>>> table.columns, [row[0] for row in table.rows]
(('from \\ to', '0', '1'), ['0', '1'])