Sparse vector Markov switching autoregressive models. Application to multivariate time series of temperature
DOI10.1016/j.csda.2016.10.023zbMath1466.62165OpenAlexW2229555156MaRDI QIDQ1658459
Pierre Ailliot, Valérie Monbet
Publication date: 14 August 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2016.10.023
EM algorithmsparsitypenalized likelihoodSCADdaily temperatureMarkov switching vector autoregressive processstochastic weather generators
Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12)
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