QUANTILE REGRESSION: CONCEPT AND RISK MEASURE PREDICTION
Time series often exhibit distinct changes in data pattern. Data with changed pattern can be modeled with markov switching regression. Markov switching model is dynamic regression whose switching between regimes follows the markov process. The expansion of markov switching model is markov switchi...
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| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/47708 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |