Hidden Markov Models, Markov Chains, Markov Switching, Markov Auto Regression, Maximum Likelihood.
distributed y_t takes the following form: A Poisson distributed y_t operating under the influence of a k-state Markov process model (Image by Author) Where the regime specific mean function is expressed as follows: In the above equation, x_t and β_cap_j have the same meaning as with the linear mean