Spatial quantile estimation of multivariate threshold time series models

DOI10.1016/J.PHYSA.2017.05.062zbMath1499.62309OpenAlexW2624816961MaRDI QIDQ2146847

Wanfeng Yan, Jiancheng Jiang, Yi Liu, Jingzhi Li, Xue-Jun Jiang

Publication date: 21 June 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2017.05.062

zbMATH Keywords

vector time seriesmultivariate threshold time series modelsspatial quantile regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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