Variable Selection in Switching Dynamic Regression Models
Complex dynamic phenomena in which dynamics is related to events (modes) that cause structural changes over time, are well described by the switching linear dynamical system (SLDS). We extend the SLDS by allowing the measurement noise to be mode-specific, a flexible way to model non stationary data....
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| Published in: | Revista Colombiana de Estadística |
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| Main Authors: | , , |
| Format: | Artigo |
| Language: | Inglês |
| Published: |
Universidad Nacional de Colombia
2022
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| Subjects: | |
| Online Access: | https://www.redalyc.org/articulo.oa?id=89981228006 |
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