Sparseness, consistency and model selection for Markov regime-switching Gaussian autoregressive models (Q5037794)
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scientific article; zbMATH DE number 7484092
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sparseness, consistency and model selection for Markov regime-switching Gaussian autoregressive models |
scientific article; zbMATH DE number 7484092 |
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Sparseness, consistency and model selection for Markov regime-switching Gaussian autoregressive models (English)
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4 March 2022
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autoregressive models
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EM algorithm
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information criteria
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Markov regime-switching models
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regularization methods
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0.9003686
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0.8929487
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0.8906989
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0.87802356
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0.8764837
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0.87165207
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0.8712406
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0.8684033
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