Likelihood-based quantile autoregressive distributed lag models and its applications

DOI10.1080/02664763.2019.1633285MaRDI QIDQ5036968zbMATH OpenOpenAlexWikidataFDO

Authors Liyong Wang, Man-Lai Tang, Yanchao Zang, Yuzhu Tian, Maozai Tian

Publication date 25 February 2022

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664763.2019.1633285

zbMATH Keywords

dynamic regression modelelectricity consumptionEM algorithminformation criterionQR analysis

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Recommendations

• Quantile Autoregression
• Empirical likelihood for quantile autoregressive models with dependent auxiliary information
• Quantile regression for linear models with autoregressive errors using EM algorithm
• Quantile cointegration in the autoregressive distributed-lag modeling framework
• scientific article; zbMATH DE number 7071613

Cites work

• Adaptive Lasso for linear regression models with ARMA-GARCH errors
• Autoregressive distributed lag models and cointegration
• Bayesian joint quantile regression for mixed effects models with censoring and errors in covariates
• Bayesian quantile regression
• Bayesian Tobit quantile regression with single-index models
• Direct Calculation of the Information Matrix via the EM Algorithm
• Exact Inference Methods for First-Order Autoregressive Distributed Lag Models
• Gibbs sampling methods for Bayesian quantile regression
• scientific article; zbMATH DE number 3720254 (Why is no real title available?)
• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• scientific article; zbMATH DE number 708500 (Why is no real title available?)
• scientific article; zbMATH DE number 1104922 (Why is no real title available?)
• Linear quantile regression based on EM algorithm
• Penalized regression models with autoregressive error terms
• Penalized weighted composite quantile regression in the linear regression model with heavy-tailed autocorrelated errors
• Posterior consistency of Bayesian quantile regression based on the misspecified asymmetric Laplace density
• Quantile cointegration in the autoregressive distributed-lag modeling framework
• Quantile regression for linear models with autoregressive errors using EM algorithm
• Quantile regression for longitudinal data using the asymmetric Laplace distribution
• Regression models with time series errors
• Regression Quantiles
• Revisiting simple linear regression with autocorrelated errors
• Second-order least-squares estimation for regression models with autocorrelated errors
• Shrinkage estimation for linear regression with ARMA errors
• The EM Algorithm and Extensions, 2E
• Theory and use of the EM algorithm
• Variable selection in quantile regression when the models have autoregressive errors

Cited in

(3)

• Markov switching quantile regression models with time-varying transition probabilities
• scientific article; zbMATH DE number 7071613 (Why is no real title available?)
• Maximum likelihood estimation for quantile autoregression models with Markovian switching

Describes a project that uses

Uses Software

• bootstrap
• boot

This page was built for publication: Likelihood-based quantile autoregressive distributed lag models and its applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5036968)