statsmodels.tsa.regime_switching.markov_regression.MarkovRegression.smooth¶
-
MarkovRegression.
smooth
(params, transformed=True, cov_type=None, cov_kwds=None, return_raw=False, results_class=None, results_wrapper_class=None)¶ Apply the Kim smoother and Hamilton filter
- Parameters
params : array_like
Array of parameters at which to perform filtering.
transformed : bool, optional
Whether or not params is already transformed. Default is True.
cov_type : str, optional
See fit for a description of covariance matrix types for results object.
cov_kwds : dict or None, optional
See fit for a description of required keywords for alternative covariance estimators
return_raw : bool,optional
Whether or not to return only the raw Hamilton filter output or a full results object. Default is to return a full results object.
results_class : type, optional
A results class to instantiate rather than MarkovSwitchingResults. Usually only used internally by subclasses.
results_wrapper_class : type, optional
A results wrapper class to instantiate rather than MarkovSwitchingResults. Usually only used internally by subclasses.
- Returns
MarkovSwitchingResults