MarkovSwitchingAR.update_variance#

static MarkovSwitchingAR.update_variance(target, means, smoothed, switching_variance, floor)[source]#

M-step variance update, per regime or pooled.

Parameters:

  • target (NDArray[double]) – The effective sample.

  • means (NDArray[double]) – Per-regime conditional means.

  • smoothed (NDArray[double]) – Smoothed regime probabilities.

  • switching_variance (bool) – Whether the variance switches across regimes.

  • floor (float) – Minimum admissible variance.

Return type:

NDArray[double]

Returns:

Per-regime variances of shape (K,).