By means of a very simple example, this note illustrates the appeal of using Bayesian rather than classical methods to produce inference on hidden states in models of Markovian regime switching. -- Bayesian analysis ; switching regression ; regime changes ; nonlinear filtering

Because the use of p-values in statistical inference often involves the rejection of a hypothesis on the basis of a number that itself assumes the hypothesis to be true, many in the scientific community argue that inference should instead be based on the hypothesis' actual probability...