Hidden Markov Models, Markov Chains, Markov Switching, Markov Auto Regression, Maximum Likelihood.
conditioned upon β_cap_s and P of y_t operating under the influence of a k-state Markov distributed random variable s_t (Image by Author) Equation (2) is just Equation (1) extended over k Markov states. y_t need not be normally distributed. In fact, suppose y_t represents a whole numbered random