Hidden Markov Models, Markov Chains, Markov Switching, Markov Auto Regression, Maximum Likelihood.
okay to do that here. The above equation written in summation form is as follows: The unconditional probability density of y under the influence of a 2-state Markov model (Image by Author) In the above equation, the probabilities P(s_t=1) and P(s_t=2) are the state probabilities π_t1 and π_t2 of