Quantile hidden semi-Markov models for multivariate time series

This paper develops a quantile hidden semi-Markov regression to jointly estimate multiple quantiles for the analysis of multivariate time series. The approach is based upon the Multivariate Asymmetric Laplace (MAL) distribution, which allows to model the quantiles of all univariate conditional distr...

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Detalles Bibliográficos
Autores principales: Merlo, Luca, Maruotti, Antonello, Petrella, Lea, Punzo, Antonio
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9360757/
https://www.ncbi.nlm.nih.gov/pubmed/35968041
http://dx.doi.org/10.1007/s11222-022-10130-1

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9360757/
https://www.ncbi.nlm.nih.gov/pubmed/35968041
http://dx.doi.org/10.1007/s11222-022-10130-1

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