Hidden Markov Models, Markov Chains, Markov Switching, Markov Auto Regression, Maximum Likelihood.
the predicted value of the regression model, μ_cap_t is actually the output of some regression function η(.) such that: μ_cap_t = η(.) Different choices of η(.) will yield different families of regression models. For example, if η(.) = 0, we get the white noise model: y_t = ε_t. If η(.) is the