MarkovSwitchingVARResult.regime_table#

MarkovSwitchingVARResult.regime_table()[source]#

One row per regime: scale, persistence, and how much sample it owns.

Return type:

SummaryTable

Returns:

A SummaryTable with columns for the covariance log-determinant, the largest companion root, the ergodic probability, the expected duration and the realized smoothed share.

Example

>>> import numpy as np
>>> rng = np.random.default_rng(0)
>>> s = np.repeat([0, 1, 0, 1], 100)
>>> y = np.array([[-1.0, -0.5], [1.5, 1.0]])[s] + 0.4 * rng.standard_normal((400, 2))
>>> res = MarkovSwitchingVAR(y, order=1, n_regimes=2).fit(seed=0)
>>> table = res.regime_table()
>>> table.title, table.columns[:3], len(table.rows)
('MSIH(2)-VAR(1) regimes', ('regime', 'log|Sigma|', 'max |root|'), 2)
>>> dict(table.metadata)["Ordering"]
'ascending first-variable intercept'