statsmodels.tsa.regime_switching.markov_autoregression.MarkovAutoregression.initial_probabilities

MarkovAutoregression.initial_probabilities(params, regime_transition=None)

Retrieve initial probabilities

Parameters:

paramsarray_like

Parameters at which to create the initial probabilities.

regime_transitionndarray, optional

The regime transition matrix. If not provided, calculated using the parameters params.

Returns:

initial_probabilitiesndarray

Array of initial probabilities, shaped (k_regimes,).