Campbell, Sean D. (contributor) - 2002 - [Elektronische Ressource]
)
regime, r
t−1
.Specifically, conditional on r
t−1
the probability of transiting from one regime to
another is specified as Pr … is negative, π
r
t|t+τ
represents a forecast of the
probability that regime r will be realized in τ periods. When τ is … positive, π
r
t|t+τ
represents a
smoothed or updated inference of the probability that regime r was in fact realized τ periods …