Markov-Switching Vector Autoregressions: Modelling, ...
Hans-Martin Krolzig
Modelling, Statistical Inference, and Application to Business Cycle Analysis Hans -Martin Krolzig. The filtering recursion (5.4) and the smoothing recursion (5.13) ... (II:". Kr-). < &n t|T 2: Thus, the vector of smoothed probabilities &T is given by 1' ...