Browsing Department of Mathematics by Author "Petrella, Lea"
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Hidden semi-Markov-switching quantile regression for time series
Maruotti, Antonello; Petrella, Lea; Sposito, Luca (Journal article; Peer reviewed, 2021)A hidden semi-Markov-switching quantile regression model is introduced as an extension of the hidden Markov-switching one. The proposed model allows for arbitrary sojourn-time distributions in the states of the Markov-switching ...