Hidden Markov Models, Markov Chains, Markov Switching, Markov Auto Regression, Maximum Likelihood.
Author) Maximization of Log-Likelihood is done by taking partial derivatives of the log-likelihood w.r.t. each parameter p_11, p_22, β_cap_0_1, β_cap_0_2 and σ² , setting each partial derivative to zero, and solving the resulting system of five equations using some optimization algorithm such as