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Title
Hidden semi-Markov-switching quantile regression for time series
Authors
Keywords
Asymmetric Laplace distribution, Markov-switching models, Sojourn distribution, Quantile regression, EM algorithm, Maximum likelihood estimation
Journal
COMPUTATIONAL STATISTICS & DATA ANALYSIS
Volume -, Issue -, Pages 107208
Publisher
Elsevier BV
Online
2021-03-07
DOI
10.1016/j.csda.2021.107208
References
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