Maximum likelihood estimation for quantile autoregression models with Markovian switching
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Publication:6053885
DOI10.1080/03610926.2022.2051052OpenAlexW4220670414MaRDI QIDQ6053885
Publication date: 24 October 2023
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2022.2051052
EM algorithmMarkovian switchingmaximum likelihood estimation (MLE)quantile autoregressionasymmetric Laplace distribution (ALD)
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