Hidden Markov Models, Markov Chains, Markov Switching, Markov Auto Regression, Maximum Likelihood.
values of y_t in x_t, as follows: The modeled mean expressed as a linear combination of regression variables including lagged copies of the dependent variable y_t. (Image by Author) In case you are wondering, no, the above model is not an Auto-Regressive model in the ARMA sense of that term. Later,