Hidden Markov Models, Markov Chains, Markov Switching, Markov Auto Regression, Maximum Likelihood.
distribution π_t, (a.k.a. δ_t) is given by the following 2-element vector: The state probability distribution of the Markov variable s_t (Image by Author) It can be shown that if we start with some prior (initial) probability distribution for s_t as π_0, then π_t can be computed by simply matrix