RegimeSwitchingLinearSSM.filter

RegimeSwitchingLinearSSM.filter(y)

Kim’s (1994) approximate forward pass.

Parameters:

y (ArrayLike) – Data, (n, p); a 1-D series is promoted when p is one, and numpy.nan rows are missing.

Return type:

_KimFilterResult

Returns:

The _KimFilterResult; its log-likelihood is the collapse approximation.

Raises:

NumericalError – If an innovation covariance degenerates.