Hidden Markov Models, Markov Chains, Markov Switching, Markov Auto Regression, Maximum Likelihood.
there are no regression variables involved. So x_t is a matrix of size [1 X 1] containing the number 1 which as we have seen earlier, is the placeholder for the intercept of regression β_0. β_cap is also a [1 x 1] matrix containing only the intercept of regression β_0_s_t. The dot product of the