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sachinsdate/poisson_hmm_reconstitute_parameter_matrices.py

Created November 26, 2021 11:12
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poisson_hmm_reconstitute_parameter_matrices.py
def reconstitute_parameter_matrices(self, params):
self.q_matrix = params[-(self.k_regimes**2):]
self.q_matrix = self.q_matrix.reshape([self.k_regimes, self.k_regimes])
self.beta_matrix = params[:-(self.k_regimes**2)]
self.beta_matrix = self.beta_matrix.reshape([self.k_regimes, self.exog.shape[1]])
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