Markov switching quantile autoregression

DOI10.1111/stan.12091zbMath1528.62045OpenAlexW2463070975MaRDI QIDQ6064121

Xiaochun Liu

Publication date: 12 December 2023

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/55800/1/MPRA_paper_55800.pdf

zbMATH Keywords

marginal likelihoodtransition probabilityasymmetric Laplace distributionMetropolis-Hastingsblock at a time

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05)

Related Items (4)

Dealing with Markov-switching parameters in quantile regression models ⋮ Maximum likelihood estimation for quantile autoregression models with Markovian switching ⋮ Bayesian inference for quantile autoregressive model with explanatory variables ⋮ Markov switching quantile regression models with time-varying transition probabilities

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