Hidden Markov Models, Markov Chains, Markov Switching, Markov Auto Regression, Maximum Likelihood.
of the Markov distributed random variable s_t. Recollect that we are assuming s_t to be the hidden variable. Let’s pause for a second and remind ourselves of two important things that we do not know: We do not know the exact time steps at which s_t makes the transition from one state to another. We