What are some reference sources for understanding Markov switching models?
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Firstly, for understanding the Markov switching models, a nice knowledge of Markov models and the way they work. Most importantly, an idea of time series models and how they work, is very important.
I found this tutorial good enough for getting up to speed with the concept.
This is another tutorial on a similar application of the switching model, which is the regime switching model.
The statsmodels library has a nice support for building the Morkov switching models.
Here is one simple and quick Python tutorial which uses the statsmodels library.
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1$\begingroup$ The link to the Python tutorial is broken, the code can be found here: github.com/ChadFulton/pymar $\endgroup$ – Zhubarb Feb 22 '17 at 8:34
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1$\begingroup$ How to forecast future values using markov regression, I am using statsmodel API? $\endgroup$ – yogesh agrawal Jan 9 '20 at 6:08
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1$\begingroup$ @yogeshagrawal Have you found out how to? I was working with MarkovRegression and MarkovAutoregression today but encountered NotImplementedException... $\endgroup$ – matt Apr 26 '20 at 12:59
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