Hidden Markov Models, Markov Chains, Markov Switching, Markov Auto Regression, Maximum Likelihood.
η(.), i.e. μ_cap_t_s_t = η(.). For this model, we define η(.) as follows: The predicted mean expressed as a dot product of a vector of 1s of size [n x 1] and a vector of coefficients of size [1 x 1] (Image by Author) The above equation is a special simple case of the dot product x_t·β_cap, where