Hidden Markov Models, Markov Chains, Markov Switching, Markov Auto Regression, Maximum Likelihood.
a conditional mean μ_cap_t given given by the equation below: The predicted mean expressed as a dot product of regression vector x_t and fitted coefficients vector β_cap (Image by Author) This completes the formulation of the visible process for y_t. Now let’s ‘mix’ the hidden Markov process and