Hidden Markov Models, Markov Chains, Markov Switching, Markov Auto Regression, Maximum Likelihood.
expressed as a linear combination of regression variables x_t, lagged versions of y_t, and Markov state dependent fitted coefficients β_cap_j (Image by Author) In the above equation, μ_cap_t_j is the predicted mean at time t under Markov regime j. x_t is the vector of regression variables [x_1t,