Hierarchical Markov-switching models for multivariate integer-valued time-series

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

zbMATH Keywords

hidden Markov modelhierarchical modelmixture modelMarkov-switching modelNSW crime data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to social sciences (62P25) Markov processes: estimation; hidden Markov models (62M05)

Related Items (1)

A two-step estimator for multilevel latent class analysis with covariates

Uses Software

• bootstrap

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