Hidden Markov Models, Markov Chains, Markov Switching, Markov Auto Regression, Maximum Likelihood.
two is the scalar value β_0_s_t which is the value that the intercept takes under the Markov regime s_t at time t. If we assume that the Markov process operates over the set of k states [1,2,3,…j,…,k], it is easier to express the above equation as follows: The predicted mean of the visible process