Hidden Markov Models, Markov Chains, Markov Switching, Markov Auto Regression, Maximum Likelihood.
given that it was in regime 1 at the previous time step (t-1). State 1 to State 2 with transition probability: p_12= P(s_t=2|s_(t-1)=1). State 2 to State 1 with transition probability: p_21=P(s_t=1|s_(t-1)=2). State 2 to State 2 with transition probability: p_22= P(s_t=2|s_(t-1)=2). Since the