Hidden Markov Models, Markov Chains, Markov Switching, Markov Auto Regression, Maximum Likelihood.
transition matrix P of the Markov process (Image by Author) and variance σ². As before, the estimation procedure can be Maximize Likelihood Estimation (MLE) in which we are solving a system of (k² +(m+1)*k +1) equations (in practice, much fewer than that number) corresponding to k² Markov