Hidden Markov Models, Markov Chains, Markov Switching, Markov Auto Regression, Maximum Likelihood.
Markov process (Image by Author) In the above equation, we are saying that the predicted mean of the model changes depending on which state the underlying Markov process variable s_t is in at time t. As before, the predicted mean μ_cap_t_s_t can be expressed as the output of some link function