Maximum likelihood estimation for quantile autoregression models with Markovian switching (Q6053885)

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scientific article; zbMATH DE number 7753681
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Maximum likelihood estimation for quantile autoregression models with Markovian switching
scientific article; zbMATH DE number 7753681

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    Maximum likelihood estimation for quantile autoregression models with Markovian switching (English)
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    24 October 2023
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    quantile autoregression
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    Markovian switching
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    maximum likelihood estimation (MLE)
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    EM algorithm
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    asymmetric Laplace distribution (ALD)
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