Quantile hidden semi-Markov models for multivariate time series

DOI10.1007/s11222-022-10130-1zbMath1495.62011MaRDI QIDQ2172108

Antonello Maruotti, Antonio Punzo, Lea Petrella, Luca Merlo

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

zbMATH Keywords

EM algorithm; quantile regression; maximum likelihood; latent process; sojourn distribution; multivariate asymmetric Laplace distribution

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

62G08: Nonparametric regression and quantile regression

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P12: Applications of statistics to environmental and related topics

62M05: Markov processes: estimation; hidden Markov models

Uses Software

• hsmm
• CAViaR
• mhsmm