Quantile regression for dynamic partially linear varying coefficient time series models

Published 2015 View Full Article

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Title
Quantile regression for dynamic partially linear varying coefficient time series models
Authors
Keywords
Autoregressive models, Model structure recovery, SCAD penalty, Schwarz information criterion (SIC), Splines
Journal
JOURNAL OF MULTIVARIATE ANALYSIS
Volume 141, Issue -, Pages 49-66
Publisher
Elsevier BV
Online
2015-06-28
DOI
10.1016/j.jmva.2015.06.013

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