Hidden Markov Models, Markov Chains, Markov Switching, Markov Auto Regression, Maximum Likelihood.
specification for μ_cap_t_j: The predicted mean of the visible process switches between two values depending on which state the hidden 2-state Markov process in (Image by Author) This in turn gives rise to a mixture process for y_t that switches between two means μ_s_1 and μ_s_2 as follows: The