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Hard · time_series · Quant Researcher interview question · regime_switching, hamilton_filter, hidden_markov_model, bayesian_inference, time_series
Hamilton's regime-switching filter is a core tool for real-time regime inference in financial time series. It models markets that switch between distinct states, such as low-volatility and high-volatility periods, by updating the probability of being in each state as new data arrives. Quantitative strategies use these probabilities to adjust position sizing, risk management, and model selection. Task Implement the function hamilton_filter(observations, trans_matrix, state_means, state_stds, ini