Hierarchical Markov-switching models for multivariate integer-valued time-series
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Publication:2225006
DOI10.1016/j.jeconom.2020.02.002zbMath1464.62376OpenAlexW3011523338MaRDI QIDQ2225006
Roberto Di Mari, Leopoldo Catania
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
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to social sciences (62P25) Markov processes: estimation; hidden Markov models (62M05)
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