The MATLAB code presented here is for estimating a Markov Regime Switching Model with time varying transition probabilities. The code is developed by Zhuanxin Ding based on the original code by Marcelo Perlin for estimating a Markov Regime Switching Model with constant transition probability matrix.
Zhuanxin Ding (2022). Regime Switching Model with Time Varying Transition Probabilities (https://www.mathworks.com/matlabcentral/fileexchange/37144-regime-switching-model-with-time-varying-transition-probabilities), MATLAB Central File Exchange. Retrieved .
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