Hidden Markov Models, Markov Chains, Markov Switching, Markov Auto Regression, Maximum Likelihood.
density f(y=y_t) is given by Equation (1) that we saw earlier. It is usually easier to maximize the natural logarithm of this product which has the benefit of converting products into summations. Hence we maximize the following log-likelihood: The Log-Likelihood of observing the data set (Image by