Hidden Markov Models, Markov Chains, Markov Switching, Markov Auto Regression, Maximum Likelihood.
function of regression variables matrix x_t and regime-specific fitted coefficients vector β_cap_j. i.e., μ_cap_t_j = η(x_t, β_cap_j) But this time around, notice that the regression coefficients vector is called β_cap_j corresponding to the jth Markov state. If the Markov model operates over ‘k’