Multivariate hidden Markov regression models: random covariates and heavy-tailed distributions
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s00362-019-01146-3.pdf
Reference40 articles.
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3. Baum LE, Petrie T, Soules G, Weiss N (1970) A maximization technique occurring in the statistical analysis of probabilistic functions of Markov chains. Ann Math Stat 41(1):164–171
4. Bernardi M, Maruotti A, Petrella L (2017) Multiple risk measures for multivariate dynamic heavy-tailed models. J Empir Financ 43:1–32
5. Biernacki C, Lourme A (2014) Stable and visualizable Gaussian parsimonious clustering models. Stat Comput 24(6):953–969
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