Python script to map the hidden state to the GE price and plot

hmm_gaussian_mixture_price_plot.py

states = (pd.DataFrame(hidden_states, columns=['states'], index=train_df.index)
          .join(train_df, how='inner')
          .assign(mkt_cret=train_df.sret.cumsum())
          .reset_index(drop=False)
          .rename(columns={'index':'Date'}))

sns.set(font_scale=1.5)
sns.set_style('white', style_kwds)
order = np.arange(model.n_components)
fg = sns.FacetGrid(data=states, hue='states', hue_order=order,
                   palette=colors, aspect=1.31, height=12)
fg.map(plt.scatter, 'Date', mkt, alpha=0.8).add_legend()
sns.despine(offset=10)
fg.fig.suptitle(f'Historical {mkt} Regimes', fontsize=24, fontweight='demi')
plt.show()