Hidden Markov Models, Markov Chains, Markov Switching, Markov Auto Regression, Maximum Likelihood.
regression variables X of size [n X (m+1)] as illustrated below: The regression variables matrix X and the coefficients vector β (Image by Author) In the above figure, the first column of ones in X acts as the placeholder for the fitted intercept of regression β_cap_0. The ‘cap’ symbol signifies