statsmodels.tsa.regime_switching.markov_autoregression.MarkovAutoregression.smooth
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MarkovAutoregression.smooth(params, transformed=True, cov_type=None, cov_kwds=None, return_raw=False, results_class=None, results_wrapper_class=None)
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Apply the Kim smoother and Hamilton filter
Parameters: |
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params (array_like) – Array of parameters at which to perform filtering.
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transformed (boolean, 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 (boolean,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.
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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: |
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Return type: |
MarkovSwitchingResults |