Hidden Markov Models, Markov Chains, Markov Switching, Markov Auto Regression, Maximum Likelihood.
changes, it affects the observed pattern of employment. In other words, a change in value of s_t impacts the mean and variance of y_t. This is the primary idea behind Hidden Markov Models. We’ll see how to precisely express this relationship between y_t and s_t. For now, let’s assume that s_t