Sparse vector Markov switching autoregressive models. Application to multivariate time series of temperature (Q1658459)
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scientific article; zbMATH DE number 6917836
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sparse vector Markov switching autoregressive models. Application to multivariate time series of temperature |
scientific article; zbMATH DE number 6917836 |
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Sparse vector Markov switching autoregressive models. Application to multivariate time series of temperature (English)
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14 August 2018
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Markov switching vector autoregressive process
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sparsity
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penalized likelihood
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SCAD
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EM algorithm
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daily temperature
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stochastic weather generators
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