Quantile hidden semi-Markov models for multivariate time series
Publication:2172108
DOI10.1007/s11222-022-10130-1zbMath1495.62011OpenAlexW4290738736MaRDI QIDQ2172108
Antonello Maruotti, Lea Petrella, Luca Merlo, Antonio Punzo
Publication date: 15 September 2022
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11222-022-10130-1
EM algorithmquantile regressionmaximum likelihoodlatent processsojourn distributionmultivariate asymmetric Laplace distribution
Computational methods for problems pertaining to statistics (62-08) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Markov processes: estimation; hidden Markov models (62M05)
Uses Software
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