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Hidden Markov Models and Regime Switching

A Markov chain with a transition matrix, the forward filter, the Viterbi path, Baum-Welch estimation, and why filtered and smoothed probabilities differ.

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How this module runs

  1. 01 · IntroductionWhat it is and why it matters
  2. 02 · Key PointsThe most important points
  3. 03 · The Math + PythonFormula, step by step, code
  4. 04 · Real WorldWhere it is used, best practice, common mistakes
  5. 05 · QuestionsExercises and interview
  6. Mini projectOne small program
Mini projectA two state model fitted and checked against the true statesOne small program on the topic, to run and to extend step by step.

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