Hierarchical Markov-switching models for multivariate integer-valued time-series

DOI10.1016/J.JECONOM.2020.02.002MaRDI QIDQ2225006zbMATH OpenOpenAlexFDO

Authors Leopoldo Catania, Roberto Di Mari

Publication date 4 February 2021

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2020.02.002

zbMATH Keywords

hidden Markov modelhierarchical modelMarkov-switching modelmixture modelNSW crime data

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to social sciences (62P25)

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Cited in

(3)

• A two-step estimator for multilevel latent class analysis with covariates
• Cyber risk modeling: a discrete multivariate count process approach
• Monitoring methods for process mean of a flexible bivariate integer-valued time series

Describes a project that uses

Uses Software

• bootstrap

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