Hidden Markov Models, Markov Chains, Markov Switching, Markov Auto Regression, Maximum Likelihood.
has two states, or regimes numbered as 1 and 2. There are four kinds of state transitions possible between the two states: State 1 to state 1: This transition happens with probability p_11. Thus p_11= P(s_t=1|s_(t-1)=1). This is read as the probability that the system is in regime 1 at time t,