Multivariate hidden Markov regression models: random covariates and heavy-tailed distributions

DOI10.1007/s00362-019-01146-3zbMath1477.62224OpenAlexW2983446413WikidataQ126785897 ScholiaQ126785897MaRDI QIDQ2065291

Antonello Maruotti, Salvatore Ingrassia, Antonio Punzo

Publication date: 7 January 2022

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-019-01146-3

zbMATH Keywords

clusteringheavy-tailed distributionshidden Markov modelsmultivariate outcomeatypical observations

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Linear regression; mixed models (62J05) Robustness and adaptive procedures (parametric inference) (62F35) Markov processes: estimation; hidden Markov models (62M05)

Related Items

Multivariate cluster weighted models using skewed distributions, Multivariate hidden semi-Markov models for longitudinal data: a dynamic regression modeling, Multivariate Contaminated Normal Censored Regression Model: Properties and Maximum Likelihood Inference, Multiple scaled contaminated normal distribution and its application in clustering

Uses Software

• R
• flexCWM
• ContaminatedMixt

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