MarkovAutoregression.regime_transition_matrix(params, exog_tvtp=None)
Construct the left-stochastic transition matrix
This matrix will either be shaped (k_regimes, k_regimes, 1) or if there are time-varying transition probabilities, it will be shaped (k_regimes, k_regimes, nobs).
The (i,j)th element of this matrix is the probability of transitioning from regime j to regime i; thus the previous regime is represented in a column and the next regime is represented by a row.
It is left-stochastic, meaning that each column sums to one (because it is certain that from one regime (j) you will transition to some other regime).
© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.tsa.regime_switching.markov_autoregression.MarkovAutoregression.regime_transition_matrix.html