Hidden Markov Models, Markov Chains, Markov Switching, Markov Auto Regression, Maximum Likelihood.
of a Markov process at time t, given the probability distribution at t=0 and the transition matrix P (Image by Author) Where π_0 is the initial value t=0, and P is the state transition matrix: The state transition matrix of the 2-state Markov process (Image by Author) The above model is a simple