Hidden Markov Models, Markov Chains, Markov Switching, Markov Auto Regression, Maximum Likelihood.
Newton-Raphson, Nelder-Mead, Powell’s etc. Markov Switching Dynamic Regression model (the general case) The general equations of the MSDR can be stated as follows: The observed value y_t expressed as a sum of the predicted mean μ_cap_tj and residual error ε_t (Image by Author) Where, μ_cap_t_j is a