Hidden Markov Models, Markov Chains, Markov Switching, Markov Auto Regression, Maximum Likelihood.
We will introduce below two ways in which the Markov variable s_t influences μ_cap_t and σ². The Markov Switching Dynamic Regression (MSDR) model Suppose we define our regression model as follows: The mean model where the mean switches between different values based on the state of the underlying