Markov switching quantile regression models with time-varying transition probabilities
DOI10.1007/s42952-022-00162-8zbMath1496.62075OpenAlexW4213184957MaRDI QIDQ2089025
Publication date: 6 October 2022
Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s42952-022-00162-8
EM algorithmquantile regressionMarkov switchingasymmetric Laplace distributiontime-varying transition probabilities
Asymptotic properties of parametric estimators (62F12) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10)
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