File list (Check if you may need any files):
MS_AR_FEX
.........\About_the_MS_AR_Models.pdf
.........\Example_Data.mat
.........\Example_MS_AR_Fit.m
.........\Example_MS_AR_Fit_t_dist.m
.........\Example_MS_AR_Fit_with_MEX.m
.........\Example_MS_AR_For.m
.........\Example_MS_AR_Simul_2_States.m
.........\Example_MS_AR_Simul_2_States_t_dist.m
.........\Example_MS_AR_Simul_3_States.m
.........\Example_MS_AR_Simul_and_Fit_2_States.m
.........\Example_MS_AR_Simul_and_Fit_2_States_t_dist.m
.........\Example_MS_AR_Simul_and_Fit_3_States.m
.........\Example_MS_AR_Simul_and_Fit_4_States.m
.........\m_Files
.........\.......\confuneq_MS_AR.m
.........\.......\getvarMatrix_MS_AR.m
.........\.......\mex_MS_Filter.cpp
.........\.......\MS_AR_Fit.m
.........\.......\MS_AR_For.m
.........\.......\MS_AR_Lik.m
.........\.......\MS_AR_Sim.m
.........\.......\nr3matlab.h