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 (2020). 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 .
Moved the beginning part of the code with nargin from function checkInputs_tvtp() to the beginning of the main function MS_Regress_Fit_tvtp.m. The old code returned error message when the newer (2017 or later) edition of Matlab is used.
1) Brett Sumsion of Dupont Capital Management kindly modified Marcelo's c++ filter to be used with the tvtp code here.
Add explanation to the tvtp matrix notation.