MarkovSwitchingSSM.log_densities#

MarkovSwitchingSSM.log_densities(target, means)[source]#

Gaussian log conditional densities, one column per regime.

Parameters:

  • target (NDArray[double]) – The modelled observations, length T_eff.

  • means (NDArray[double]) – Per-regime conditional means, shape (T_eff, K).

Return type:

NDArray[double]

Returns:

An array of shape (T_eff, K). Logarithms rather than levels, so a regime that assigns a tiny density to an outlier underflows to a large negative number instead of to zero.