Hidden Markov quantile graphical models

Hidden Markov quantile graphical models

<p>This paper introduces a novel hidden Markov quantile graphical model for capturing time-varying conditional dependence structures in multivariate time series. The proposed method allows the identification of state-specific graphs and the dynamic relationships between variables across hidden...

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Bibliographic Details
Main Author: Beatrice Foroni (22512147) (author)
Other Authors: Luca Merlo (13624006) (author), Lea Petrella (16876613) (author), Nicola Salvati (16876616) (author)
Published: 2025
Subjects:
Science Policy
Space Science
Environmental Sciences not elsewhere classified
Biological Sciences not elsewhere classified
Mathematical Sciences not elsewhere classified
Information Systems not elsewhere classified
Air pollution
Conditional independence
EM algorithm
Non-Gaussian data
Time-varying graphical model
Weighted quantile regression
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