Likelihood-based quantile autoregressive distributed lag models and its applications

DOI10.1080/02664763.2019.1633285OpenAlexW2955223962WikidataQ127613356 ScholiaQ127613356MaRDI QIDQ5036968

Man-Lai Tang, Liyong Wang, Yanchao Zang, Mao-Zai Tian, Yu-Zhu Tian

Publication date: 25 February 2022

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2019.1633285

zbMATH Keywords

EM algorithminformation criteriondynamic regression modelelectricity consumptionQR analysis

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Related Items (2)

Maximum likelihood estimation for quantile autoregression models with Markovian switching ⋮ Markov switching quantile regression models with time-varying transition probabilities

Uses Software

• bootstrap
• bootlib

Cites Work

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• Bayesian quantile regression

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