Switching & Regime Models¶
Markov-switching state-space models with K discrete regimes, each with its own linear-Gaussian dynamics. The Hamilton filter tracks filtered regime probabilities, and the Kim smoother provides smoothed estimates.
Model¶
Hamilton Filter¶
Forward filtering for Markov-switching models. Runs K parallel Kalman filters with Kim’s moment-matching collapse approximation.
Kim Smoother¶
Backward smoothing for Markov-switching models. Produces smoothed state estimates and regime probabilities.
